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actus-dictionary.json
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{
"version": {
"Version": "1.2",
"Edition": "0",
"Date": "2020-06-03"
},
"taxonomy": {
"annuity": {
"identifier": "annuity",
"name": "Annuity",
"acronym": "ANN",
"family": "Basic",
"class": "Fixed Income",
"description": "Principal payment fully at IED and interest plus principal repaid periodically in constant amounts till MD. If variable rate, total amount for interest and principal is recalculated to be fully matured at MD.",
"coverage": "Classical level payment mortgages, leasing contracts etc.",
"status": "Implemented"
},
"callMoney": {
"identifier": "callMoney",
"name": "Call Money",
"acronym": "CLM",
"family": "Basic",
"class": "Fixed Income",
"description": "Loans that are rolled over as long as they are not called. Once called it has to be paid back after the stipulated notice period.",
"coverage": "Interbank loans with call features."
},
"capFloor": {
"identifier": "capFloor",
"name": "Cap Floors",
"acronym": "CAPFL",
"family": "Combined",
"class": "Asymmetric",
"description": "Interest rate option expressed in a maximum or minimum interest rate.",
"coverage": "Caps and Floor options."
},
"cash": {
"identifier": "cash",
"name": "Cash",
"acronym": "CSH",
"family": "Basic",
"class": "Ownership",
"description": "Cash or cash equivalent position",
"coverage": "Cash, deposits at central bank."
},
"certificate": {
"identifier": "certificate",
"name": "Certificate",
"acronym": "CERTF",
"family": "Combined",
"class": "Asymmetric",
"description": "This contract represents all kinds of certificates which, in essence, give an investor the possibility to participate in the change of market value of an underlying instrument. The underlying instrument can be any product with a market value or a NAV calculated for it. Generally, a certificate grants the investor the right to redeem his shares / notes at a defined redemption schedule and with a payoff following a predefined redemption formula. Other rights and duties of the investor are also possible.",
"coverage": "Tracker Certificates, Performance Certificates, etc.",
"status": "Implemented"
},
"collateral": {
"identifier": "collateral",
"name": "Collateral",
"acronym": "CEC",
"family": "Credit Enhancement",
"class": "Credit Enhancement",
"description": "Collateral creates a relationship between a collateral an obligee and a debtor, covering the exposure from the debtor with the collateral.",
"coverage": "Mortgages include a collateral contract. Any coverage with financial or physical collateral.",
"status": "Implemented"
},
"collateralizedLendingAgreement": {
"identifier": "collateralizedLendingAgreement",
"name": "Collateralized Lending Agreement",
"acronym": "COLLA",
"family": "Combined",
"class": "Fixed Income",
"description": "A secured (by collateral) lending agreement which repays the total nominal amount at maturity.",
"coverage": "Secured loans and straight bonds, secured p2p loans, secured crowdfunding debt, etc.",
"status": "Implemented"
},
"commodity": {
"identifier": "commodity",
"name": "Commodity",
"acronym": "COM",
"family": "Basic",
"class": "Ownership",
"description": "This is not a financial contract in its propper sense. However it traks movements of commodities such as oil, gas or even houses. Such commodities can serve as underlyings of commodity futures, guarantees or simply asset positions.",
"coverage": "Oil, gas, electricity, houses etc."
},
"convertibleNote": {
"identifier": "convertibleNote",
"name": "Convertible Note",
"acronym": "BNDCP",
"family": "Combined",
"class": "Asymmetric",
"description": "Bonds with a call or put option. If option is exercised, underlying bond ceases to exist.",
"coverage": "Callable and puttable bonds or loans."
},
"creditDefaultSwap": {
"identifier": "creditDefaultSwap",
"name": "Credit Default Swap",
"acronym": "CDSWP",
"family": "Combined",
"class": "Asymmetric",
"description": "A payment is triggered if one or more of the ndelying counterparties defaults.",
"coverage": "All sorts of credit default swaps"
},
"creditLinkedNote": {
"identifier": "creditLinkedNote",
"name": "Credit Linked Note",
"acronym": "CLNTE",
"family": "Combined",
"class": "Asymmetric",
"description": "A credit linked note is a security with an embedded CDSWP"
},
"eXOTi": {
"identifier": "eXOTi",
"name": "EXOTi",
"acronym": "EXOTi",
"family": "Combined",
"class": "Asymmetric",
"description": "As of current, most of the exotic options which were popular before 2008 are out of favor and factually irrelevant.Which of the exotic options will be implemented will depend on the real relevance in the future.",
"coverage": "Knock-in and Knock-out, Barrier, Ladder, Rainbow options etc."
},
"exoticAnnuity": {
"identifier": "exoticAnnuity",
"name": "Exotic Annuity",
"acronym": "ANX",
"family": "Basic",
"class": "Fixed Income",
"description": "Exotic version of ANN However step ups with respect to (i) Principal, (ii) Interest rates are possible. Highly flexible to match totally irregular principal payments. Principal can also be paid out in steps.",
"coverage": "A special version of this kind are teaser rate loans and mortgages with annuity features."
},
"exoticLinearAmortizer": {
"identifier": "exoticLinearAmortizer",
"name": "Exotic Linear Amortizer",
"acronym": "LAX",
"family": "Basic",
"class": "Fixed Income",
"description": "Exotic version of LAM. However step ups with respect to (i) Principal, (ii) Interest rates are possible. Highly flexible to match totally irregular principal payments. Principal can also be paid out in steps.",
"coverage": "A special version of this kind are teaser rate loans and mortgages."
},
"exoticNegativeAmortizer": {
"identifier": "exoticNegativeAmortizer",
"name": "Exotic Negative Amortizer",
"acronym": "NAX",
"family": "Basic",
"class": "Fixed Income",
"description": "Exotic version of NAM However step ups with respect to (i) Principal, (ii) Interest rates are possible. Highly flexible to match totally irregular principal payments. Principal can also be paid out in steps.",
"coverage": "A special version of this kind are teaser rate loans and mortgages with variable MD."
},
"foreignExchangeOutright": {
"identifier": "foreignExchangeOutright",
"name": "Foreign Ex-change Outright",
"acronym": "FXOUT",
"family": "Combined",
"class": "Symmetric",
"description": "Two parties agree to exchange two fixed cash flows in different currencies at a certain point in time in future.",
"coverage": "Any FX-outright transaction at a future date. This is also the underlying of FX-options and FX futures."
},
"future": {
"identifier": "future",
"name": "Future",
"acronym": "FUTUR",
"family": "Combined",
"class": "Symmetric",
"description": "Keeps track of value changes for any basic CT as underlying (PAM, ANN etc. but also FXOUT, STK, COM). Handles margining calls.",
"coverage": "Standard interest rate, FX, stock and commodity futures."
},
"guarantee": {
"identifier": "guarantee",
"name": "Guarantee",
"acronym": "CEG",
"family": "Credit Enhancement",
"class": "Credit Enhancement",
"description": "Guarantee creates a relationship between a guarantor, an obligee and a debtor, moving the exposure from the debtor to the guarantor.",
"coverage": "Personal guarantee. Government guarantee. Underlyings of CDO´s.",
"status": "Implemented"
},
"linearAmortizer": {
"identifier": "linearAmortizer",
"name": "Linear Amortizer",
"acronym": "LAM",
"family": "Basic",
"class": "Fixed Income",
"description": "Principal payment fully at IED. Principal repaid periodically in constant amounts till MD. Interest gets reduced accordingly. If variable rate, only interest payment is recalculated. Fixed and variable rates.",
"coverage": "Many amortizing loans."
},
"margining": {
"identifier": "margining",
"name": "Margining",
"acronym": "MAR",
"family": "Credit Enhancement",
"class": "Credit Enhancement",
"description": "A Margining contract traces the value changes and the different margin categories like inital and variation margin.",
"coverage": "Margin contracts as applied in central depositories for any underlying or portfolio of underlying instruments."
},
"negativeAmortizer": {
"identifier": "negativeAmortizer",
"name": "Negative Amortizer",
"acronym": "NAM",
"family": "Basic",
"class": "Fixed Income",
"description": "Similar as ANN. However when resetting rate, total amount (interest plus principal) stay constant. MD shifts. Only variable rates.",
"coverage": "Special class of ARM´s (adjustable rate mortgages), Certain loans."
},
"option": {
"identifier": "option",
"name": "Option",
"acronym": "OPTNS",
"family": "Combined",
"class": "Asymmetric",
"description": "Calculates straight option pay-off for any basic CT as underlying (PAM, ANN etc.) but also SWAPS, FXOUT, STK and COM. Single, periodic and continuous strike is supported.",
"coverage": "European, American and Bermudan options with Interest rate, FX and stock futures as underlying instruments."
},
"perpetualBonds": {
"identifier": "perpetualBonds",
"name": "Perpetual Bonds",
"acronym": "PBN",
"family": "Basic",
"class": "Fixed Income",
"description": "Bonds without any maturity date. Interest is paid into eternity if is not terminated.",
"coverage": "Consoles, war loans."
},
"plainVanillaSwap": {
"identifier": "plainVanillaSwap",
"name": "Plain Vanilla Swap",
"acronym": "SWPPV",
"family": "Combined",
"class": "Symmetric",
"description": "Plain vanilla swaps where the underlyings are always two identical PAM´s however with one leg fixed and the other variable.",
"coverage": "More than 90% of all interest rate swaps follow this simple pattern."
},
"principalAtMaturity": {
"identifier": "principalAtMaturity",
"name": "Principal at Maturity",
"acronym": "PAM",
"family": "Basic",
"class": "Fixed Income",
"description": "Principal payment fully at Initial Exchange Date (IED) and repaid at Maturity Date (MD). Fixed and variable rates.",
"coverage": "All kind of bonds, term deposits, bullet loans and mortgages etc.",
"status": "Implemented"
},
"repurchaseAgreement": {
"identifier": "repurchaseAgreement",
"name": "Repurchase Agreement",
"acronym": "REP",
"family": "Credit Enhancement",
"class": "Credit Enhancement",
"description": "A Repo contract controls and manages the sale and repurchase of assets on the books.",
"coverage": "Classical repo and reverse repo agreements.",
"status": "Planned"
},
"securitizationCreditRisk": {
"identifier": "securitizationCreditRisk",
"name": "Securitization Credit Risk",
"acronym": "SCRCR",
"family": "Combined",
"class": "Securitization",
"description": "Securitiazion contracts where contracs are ranked according to credit default. The lower ranked tranches are hit by the first defaults. Only when the lowest tranches are wiped out, the next higher tranch is hit.",
"coverage": "CDO´s"
},
"securitizationMarketRisk": {
"identifier": "securitizationMarketRisk",
"name": "Securitization Market Risk",
"acronym": "SCRMR",
"family": "Combined",
"class": "Securitization",
"description": "Securitiazion contracts where all underlying contracts are treated equal. The buyer of a tranche gets a part of the cash-flows.",
"coverage": "ABS´s, MBS´s of all sorts. Could be a simple tranche or more complex tranch like interest only and principal only."
},
"stock": {
"identifier": "stock",
"name": "Stock",
"acronym": "STK",
"family": "Basic",
"class": "Ownership",
"description": "Any instrument which is bought at a certain amount (market price normally) and then follows an index.",
"coverage": "All straight stocks.",
"status": "Implemented"
},
"swap": {
"identifier": "swap",
"name": "Swap",
"acronym": "SWAPS",
"family": "Combined",
"class": "Symmetric",
"description": "Exchange of two basic CT´s (PAM, ANN etc.). Normally one is fixed, the other variable. However all variants possible including different currencies for cross currency swaps, basic swaps or even different principal exchange programs.",
"coverage": "All kind of swaps. The variety is defined by the underlying CT´s which often are PAM and ANN in all its flavors. With each new basic CT the variety rises."
},
"totalReturnSwap": {
"identifier": "totalReturnSwap",
"name": "Total Return Swap",
"acronym": "TRSWP",
"family": "Combined",
"class": "Asymmetric",
"description": "A total return swap is a swap agreement in which one party makes payments based on a set rate, either fixed or variable, while the other party makes payments based on the return of an underlying asset, which includes both the income it generates and any capital gains."
},
"undefinedMaturityProfile": {
"identifier": "undefinedMaturityProfile",
"name": "Undefined Maturity Profile",
"acronym": "UMP",
"family": "Basic",
"class": "Fixed Income",
"description": "Principal paid in and out at any point in time without prefixed schedule. Interest calculated on outstanding and capitalized periodically. Needs link to a behavioral function describing expected flows.",
"coverage": "Saving products of all kind, current accounts. In some countries even variable rate mortgages can be represented with this CT."
},
"warrant": {
"identifier": "warrant",
"name": "Warrant",
"acronym": "BNDWR",
"family": "Combined",
"class": "Asymmetric",
"description": "Bonds with a warrant. If option is exercised, underlying bond continues to exist.",
"coverage": "Warrants."
}
},
"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": [
{