demo-alfa-with-fire-json-model
fire.model.security
A security represents a tradable financial instrument held or financed by an institution for investment or collateral.
Local Fields
| Name | Datatype | Description |
|---|---|---|
| accounting_treatment |  fire.model.accounting_treatment ? |
|
| ccf | double(0.0, *) ? | |
| impairment_amount | int(0, *) ? | The impairment amount for a security is the allowance set aside by the firm for losses. |
| reporting_entity_name | string ? | The name of the reporting legal entity for display purposes. |
| day_count_convention | fire.model.day_count_convention ? |
The standardised methodology for calculating the number of days between two dates. It is used to calculate the amount of accrued interest or the present value. |
| type | fire.model.security_type ? |
This is the type of the security with regards to common regulatory classifications. |
| moodys_st | fire.model.security_moodys_st ? |
Moodys short term credit ratings |
| balance | int ? | Outstanding amount including accrued interest. Monetary integer number of cents/pence. |
| snp_st | fire.model.security_snp_st ? |
S&P short term credit ratings |
| resolution_date | datetime ? | Date of resolution of the defaulted facility. |
| id | string | The unique identifier for the record within the firm. |
| deal_id | string ? | The unique identifier used by the financial institution to identify the deal for this product that links it to other products of the same or different type. |
| rehypothecation | boolean ? | Can the security be rehypothecated by the borrower? |
| lgd_floored | double(0.0, 1.0) ? | The final LGD value after the relevant floors have been applied. To be used in the IRB RWA calculations. |
| call_dates | list< datetime > ? | Dates where this contract can be called (by the customer). Formatted as YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601. |
| originator_id | string ? | The unique identifier used by the financial institution to identify the originator of the security or securitisation. |
| moodys_lt | fire.model.security_moodys_lt ? |
Moody's long term credit ratings |
| sedol | string ? | The stock exchange daily official list (SEDOL) is a seven-character identification code assigned to securities that trade on the London Stock Exchange and various smaller exchanges in the United Kingdom. SEDOL codes are used for unit trusts, investment trusts, insurance-linked securities, and domestic and foreign stocks. |
| dbrs_lt | fire.model.security_dbrs_lt ? |
DBRS long term credit ratings |
| attachment_point | double(0.0, 1.0) ? | The threshold at which losses within the pool of underlying exposures would start to be allocated to the relevant securitisation position. |
| base_rate | fire.model.security_base_rate ? |
The base rate represents the basis of the rate on the balance at the given date as agreed in the terms of the financial product. |
| asset_liability | fire.model.asset_liability ? |
Is the security (valued at either amortised cost or fair value) an asset or a liability on the firm's balance sheet. |
| reversion_date | datetime ? | The timestamp that indicates the end of an initial period where the 'rate' is applied to a security. After this the interest is calculated using the 'reversion_rate'. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601. |
| cost_center_code | string ? | The organizational unit or sub-unit to which costs/profits are booked. |
| hqla_class | fire.model.security_hqla_class ? |
What is the HQLA classification of this security? |
| status | fire.model.security_status ? |
Provides additional information regarding the status of the security. |
| end_date | datetime ? | YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601 |
| mic_code | string(4, 4) ? | |
| pd_irb | double(0.0, 1.0) ? | The probability of default as determined by internal ratings-based approach. Expressed as a percentage between 0 and 1. This value is used in regulatory capital calculations. |
| kbra_lt | fire.model.security_kbra_lt ? |
KBRA long term credit ratings |
| ead | int ? | The EAD field allows users to input monetary exposure-at-default values across the security's lifecycle. Upon default, this field must be updated to reflect the final realised EAD value — that is, the actual exposure outstanding at the moment of default. |
| interest_repayment_frequency | fire.model.security_interest_repayment_frequency ? |
Repayment frequency of the interest. |
| notional_amount | int ? | The notional value is the total amount of a security's underlying asset at its spot price. Monetary number of cents. |
| regulatory_book | fire.model.regulatory_book ? |
|
| guarantee_start_date | datetime ? | The first day the security became guaranteed by the guarantor. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601 |
| risk_weight_irb | double ? | The internal risk weight represented as a decimal/float such that 1.5% is 0.015. |
| currency_code | fire.model.currency_code ? |
Actual currency of the security in accordance with ISO 4217 standards. It should be consistent with balance, accrued_interest, guarantee_amount and other monetary amounts. |
| repayment_type | fire.model.security_repayment_type ? |
The repayment or amortisation mechanism of the security or securitisation. |
| on_balance_sheet | boolean ? | Is the security reported on the balance sheet of the financial institution? |
| issue_date | datetime ? | The date on which the security is issued. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601. |
| insolvency_rank | int(1, *) ? | The insolvency ranking as per the national legal fraamework of the reporting institution. |
| cr_approach | fire.model.cr_approach ? |
Specifies the approved credit risk rwa calculation approach to be applied to the exposure. |
| csa_id | string ? | The unique identifier of the credit support annex this security falls under. Typically where used as derivatives collateral. |
| index_composition | set<  fire.model.security_index_composition > ? |
Constituents and their proportion in an index. |
| economic_loss | int ? | The definition of loss, used in estimating Loss Given Default for the reporting segment. When measuring economic loss, as opposed to accounting loss |
| cqs_standardised | int(1, 17) ? | The credit quality step for standardised approach. |
| forbearance_date | datetime ? | The date on which the first forbearance measure was granted to this product. Format should be YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601 |
| detachment_point | double(0.0, 1.0) ? | The threshold at which losses within the pool of underlying exposures would result in a complete loss of principal for the tranche containing the relevant securitisation position. |
| frr_id | string ? | The internal facility risk rating assigned to a facility based on its specific risk characteristics, including collateral and seniority. |
| servicing | fire.model.security_servicing ? |
The method by which the debt shall be repaid |
| start_date | datetime ? | The timestamp that the trade or financial product commences. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601. |
| impairment_date | datetime ? | The date upon which the product became considered impaired. Format should be YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601 |
| trade_date | datetime ? | The timestamp that the trade or financial product terms are agreed. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601. |
| issuer_id | string ? | The unique identifier for the issuer within the financial institution. |
| cover_pool_balance | int(0, *) ? | The balance of the assets that are held in the cover pool |
| cb_haircut | double(0.0, 1.0) ? | The haircut as determined by the firm's central bank |
| first_arrears_date | datetime ? | The first date on which this security was in arrears. |
| hedged_percentage | double(0.0, 1.0) ? | In the case of a designated fair value hedge, the portion of the asset being hedged, as determined according to ASC 815-20-25-12 (b) and ASC 815-20-25-12A. |
| accrued_interest | int ? | The accrued interest since the last payment date and due at the next payment date. Monetary type represented as an integer number of cents/pence. |
| customer_id | string ? | The unique identifier used by the financial institution to identify the customer for this product. |
| movement | fire.model.security_movement ? |
The movement parameter describes how the security arrived to the firm. |
| seniority | fire.model.security_seniority ? |
The seniority of the security in the event of sale or bankruptcy of the issuer. |
| sft_type | fire.model.security_sft_type ? |
The sft_type parameter defines the transaction mechanism conducted for the SFT for this security product. |
| value_date | datetime ? | The timestamp that the trade or financial product was valued. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601. |
| date | datetime | The observation or value date for the data in this object. Formatted as YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601. |
| cqs_irb | int(1, 12) ? | The credit quality step for internal ratings based approach. |
| fees | int ? | The fees associated with the security. |
| risk_weight_std | double ? | The standardised approach risk weight represented as a decimal/float such that 1.5% is 0.015. |
| securitisation_type | fire.model.security_securitisation_type ? |
The type of securitisation with regards to common regulatory classifications. |
| mtm_clean | int ? | The mark-to-market value of the security excluding interest. Monetary number of cents/pence. |
| impairment_status | fire.model.impairment_status ? |
|
| transferable | boolean ? | Can the security be transferred between parties or negotiated on the capital market? |
| source | string ? | The source(s) where this data originated. If more than one source needs to be stored for data lineage, it should be separated by a dash. eg. Source1-Source2 |
| fitch_lt | fire.model.security_fitch_lt ? |
Fitch long term credit ratings |
| kbra_st | fire.model.security_kbra_st ? |
KBRA short term credit ratings |
| ledger_code | string ? | The internal ledger code or line item name. |
| isin_code | string(12, 12) ? | The unique International Securities Identification Number for the security according to ISO 6166. |
| issue_size | int ? | The size of the issue denominated in the original currency of the security |
| risk_profile | int(1, 10) ? | The evaluation of the financial risk associated to the portfolio |
| last_payment_date | datetime ? | The final payment date for interest payments, often coincides with end_date or the maturity date |
| product_name | string ? | The name of the product as given by the financial institution to be used for display and reference purposes. |
| excess_spread_type | fire.model.security_excess_spread_type ? |
Excess spread |
| retention_type | fire.model.security_retention_type ? |
The repayment or amortisation mechanism of the security or securitisation. |
| country_code | fire.model.country_code ? |
Two-letter country code for security location/jurisdiction. In accordance with ISO 3166-1. |
| fitch_st | fire.model.security_fitch_st ? |
Fitch short term credit ratings |
| hedge_id | string ? | Unique identifier that establishes a relational link between a security and its associated derivative hedge. Enables consistent tracking, aggregation, and reconciliation of hedged positions across systems and datasets. |
| first_payment_date | datetime ? | The first payment date for interest payments. |
| guarantor_id | string ? | The unique identifier for the guarantor within the financial institution. |
| reversion_rate | double ? | The rate to which the security will revert after the reversion date. Percentages represented as a decimal/float, so 1.5 implies 1.5%. |
| stress_change | double(0.0, *) ? | The level of variation on the security's price or haircut or during a 30 day calendar market stress period in percentage terms |
| issuance_type | fire.model.security_issuance_type ? |
Indicates the type of placement for issuances. For example, private placements, other non-publicly offered securites, publicly offered securities or direct purchase municipal securities. Refer to https://www.federalreserve.gov/apps/reportingforms/Report/Index/FR_Y-14Q for more information. |
| purpose | fire.model.security_purpose ? |
The purpose for which the security is being held. |
| risk_country_code | fire.model.country_code ? |
Two-letter country code describing where the risk for the security resides. In accordance with ISO 3166-1 |
| dbrs_st | fire.model.security_dbrs_st ? |
DBRS short term credit ratings |
| description | string ? | A more user-friendly description of the security. |
| fvh_level | int(1, 3) ? | Fair value hierarchy category according to IFRS 13.93 (b) |
| maturity_date | datetime ? | The date on which the principal repayment of the security is due. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601. |
| retention_pct | double ? | The percentage of the issuance retained by the issuer. e.g. 0.05 is 5%. |
| next_payment_date | datetime ? | The next date at which interest will be paid or accrued_interest balance returned to zero. |
| rate_type | fire.model.security_rate_type ? |
Describes the type of interest rate applied to the security. |
| rate | double ? | The full interest rate applied to the security notional in percentage terms. Note that this therefore includes the base_rate (ie. not the spread). |
| capital_tier | fire.model.security_capital_tier ? |
The capital tiers based on own funds requirements. |
| ccr_approach | fire.model.security_ccr_approach ? |
Specifies the approved counterparty credit risk methodology for calculating exposures. |
| prev_payment_date | datetime ? | The most recent previous date at which interest was paid or accrued_interest balance returned to zero. |
| default_date | datetime ? | Date of default. |
| encumbrance_amount | int(0, *) ? | The amount of the security that is encumbered by potential future commitments or legal liabilities such as within a repo pool. Monetary type represented as a naturally positive integer number of cents/pence. |
| break_dates | list< datetime > ? | Dates where this contract can be broken (by either party). Formatted as YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601. |
| call_type | fire.model.security_call_type ? |
The call mechanism, if present, for the issuance. For securitisations and other callable securities. |
| mna_id | string ? | The unique identifier of the Master Netting Agreement this security falls under. Typically where used as derivatives collateral. |
| reporting_id | string ? | The internal ID for the legal entity under which the account is being reported. |
| version_id | string ? | The version identifier of the data such as the firm's internal batch identifier. |
| snp_lt | fire.model.security_snp_lt ? |
S&P long term credit ratings |
| acc_fv_change_credit_risk | int ? | Accumulated changes in fair value due to credit risk. |
| lgd_irb | double(0.0, 1.0) ? | The loss given default as determined by internal ratings-based approach. Expressed as a percentage between 0 and 1. This value is used in regulatory capital calculations. |
| cum_write_offs | int(0, *) ? | The portion of the security which has been written off. |
| mtm_dirty | int ? | The mark-to-market value of the security including interest. Monetary number of cents/pence. |
| acc_fv_change_before_taxes | int ? | Accumulated change in fair value before taxes. |
| distribution_type | fire.model.security_distribution_type ? |
The instrument's coupon/dividend distribution type, such as cumulative or noncumulative. Refer to https://www.federalreserve.gov/apps/reportingforms/Report/Index/FR_Y-14Q for more information. |
| next_repricing_date | datetime ? | The date on which the interest rate of the security will be re-calculated. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601. |