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 |
| 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 |
| 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 rating-based methods, represented as a number between 0 and 1. |
| kbra_lt | fire.model.security_kbra_lt ? |
KBRA long term credit ratings |
| 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. |
| 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. |
| 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. |
| 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. |
| 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 |
| 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 |
| 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 |
| 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 | 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. |
| 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 rating-based methods, represented as a number between 0 and 1. |
| 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. |
| 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. |