Data describing financial instruments are often complex, incomplete, and incompatible. These weaknesses impede companies and investors in managing their risk, and regulators in overseeing firms, markets, and the financial system as a whole. The first phase of the Financial Instrument Reference Database establishes a set of granular data elements that are the basis for describing financial instruments. This foundational component is a data dictionary that leverages the ISO 20022 international standard for the development of financial messages, data elements of the Financial Information eXchange (FIX) Protocol and the data dictionary provided by the ACTUS Financial Research Foundation. Future phases of the multiyear rollout of the Financial Instrument Reference Database will build on this foundation.
The Financial Instrument Reference Database provides the terms and definitions for five asset classes: Equity, Debt, Option, Warrant, and Future. Within the ACTUS Algorithmic Financial Contract Standard, the ACTUS Data Dictionary and the ACTUS Algorithms represent financial instruments by their contractual cash flow obligations.
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Dataset1
Financial Instrument
Definition
ACTUS
Debt - Annuity (ANN)
Principal payment fully at Initial Exchange Date (IED) and interest plus principal repaid periodically in constant amounts till Maturity Date (MD). If variable rate, total amount for interest and principal is recalculated to be fully matured at Maturity Date (MD). Classical level payment mortgages, leasing contracts etc.
ACTUS
Debt - Call Money (CLM)
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. Interbank loans with call features.
ACTUS
Debt - Exotic Linear Amortizer (LAX)
Exotic version of Linear Amortizer (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. A special version of this kind are teaser rate loans and mortgages.
ACTUS
Debt - Linear Amortizer (LAM)
Principal payment fully at Initial Exchange Date (IED). Principal repaid periodically in constant amounts till Maturity Date (MD). Interest gets reduced accordingly. If variable rate, only interest payment is recalculated. Fixed and variable rates. Many amortizing loans.
ACTUS
Debt - Negative Amortizer (NAM)
Similar as Annuity (ANN). However when resetting rate, total amount (interest plus principal) stay constant. Maturity Date (MD) shifts. Only variable rates. Special class of ARM´s (adjustable rate mortgages), Certain loans.
ACTUS
Debt - Principal at Maturity (PAM)
Principal payment fully at Initial Exchange Date (IED) and repaid at Maturity Date (MD). Fixed and variable rates. All kind of bonds, term deposits, bullet loans and mortgages etc.
ACTUS
Debt - Undefined Maturity Profile (UMP)
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. Saving products of all kind, current accounts. In some countries even variable rate mortgages can be represented with this Contract Type (CT).
ACTUS
Equity - Stock (STK)
Any instrument which is bought at a certain amount (market price normally) and then follows an index. All straight stocks.
ACTUS
Future - Future (FUTUR)
Keeps track of value changes for any basic Contract Type (CT) as underlying (Principal at Maturity (PAM), Annuity (ANN) etc. but also Foreign Ex-change Outright (FXOUT), Stock (STK), Commodity (COM)). Handles margining calls. Standard interest rate, FX, stock and commodity futures.
ACTUS
Option - Option (OPTNS)
Calculates straight option pay-off for any basic Contract Type (CT) as underlying (Principal at Maturity (PAM), Annuity (ANN) etc.) but also Swap (SWAPS), Foreign Ex-change Outright (FXOUT), Stock (STK) and Commodity (COM). Single, periodic and continuous strike is supported. European, American and Bermudan options with Interest rate, FX and stock futures as underlying instruments.
ACTUS
Warrant - Option (OPTNS)
Calculates straight option pay-off for any basic Contract Type (CT) as underlying (Principal at Maturity (PAM), Annuity (ANN) etc.) but also Swap (SWAPS), Foreign Ex-change Outright (FXOUT), Stock (STK) and Commodity (COM). Single, periodic and continuous strike is supported. European, American and Bermudan options with Interest rate, FX and stock futures as underlying instruments.
FIX
Debt
The category of debt instruments comprises financial instruments evidencing moneys owed by the issuer to the holder on terms as specified. (Source: ISO 10962 -- Classification of Financial Instruments (CFI) code)
FIX
Equity
The equities category comprises financial instruments representing an ownership interest in an entity or pool of assets. (Source: ISO 10962 -- Classification of Financial Instruments (CFI) code)
FIX
Future
This category comprises contracts, listed on an exchange or regulated market, which obligate the buyer to receive and the seller to deliver in the future the assets specified at an agreed price. This includes forwards on regulated markets.(Source: ISO 10962 -- Classification of Financial Instruments (CFI) code)
FIX
Option
This category classifies listed options, which are contracts that grant to the holder either the privilege to purchase or the privilege to sell the assets specified at a predetermined price or formula at or within a time in the future. (Source: ISO 10962 -- Classification of Financial Instruments (CFI) code)
FIX
Warrant
The entitlement category comprises financial instruments providing the holder with the privilege to subscribe to or receive specific assets on terms specified. Warrants are a group of financial instruments in the entitlement category, which permit the holder to purchase a specified amount of a financial instrument, commodity, currency or other during a specified period at a specified price. (Source: ISO 10962 -- Classification of Financial Instruments (CFI) code)
ISO20022
Debt
Financial instruments evidencing moneys owed by the issuer to the holder on terms as specified.
ISO20022
Equity
Financial instrument which represents a title of ownership in a company, ie, the shareholder is entitled to a part of the company's profit - usually by payment of a dividend - and to voting rights, if any. Each company issues generally different classes of shares, eg, ordinary or common shares, which have no guaranteed amount of dividend but carry voting rights, or preferred shares, which receive dividends before ordinary shares but have no voting right.
ISO20022
Future
Parameters for contracts which obligate the buyer to receive and the seller to deliver in the future the assets specified at an agreed price.
ISO20022
Option
Contracts which grant to the holder either the privilege to purchase or the privilege to sell the assets specifiedat a predetermined price or formula at or within a time in the future.
ISO20022
Warrant
Financial instrument that gives the holder the right to purchase shares or bonds at a given price within a specified time.
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The Financial Instrument Reference Database simplifies access to, and understanding of, the granular financial instrument data in ISO 20022, FIX Protocol and the ACTUS Financial Research Foundation's Algorithmic Financial Contract Standard. It makes the text searchable and the relationships and properties clear. The current content forms a foundation to which the public sector and private sector can begin to align financial instrument data. The Financial Instrument Reference Database is positioned to remain current and grow with evolving industry data standards.
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