Appendix A Building Block Data Model

A.1

The Instrument Model

A.1.1

Instrument Core

The Instrument Core class of attributes stores information that is generic to all financial instruments. It also provides the central link to the other attribute classes that describe more specific aspects of a financial instrument.

Table A.1: Attribute definitions of the Instrument Core class

Attribute Name PK/FK Description Type M/O Domain
Instrument ID PK Unique identifier for this instrument. Automatically allocated by the system. Identifier M (Automatic)
Instrument Status — Status of the Instrument: Unissued, Rejected, Issued, Redeemed, etc. Look-up M Instrument Status
Name — Name of the instrument. String M —
Primary Asset Class — Broad asset classification of the instrument. Look-up M Asset Classification
Denomination Unit —
  • Unit in which the instrument is denominated or measured. This is usually NOMINAL, but can also be PERCENT or other denomination units.
  • As compared to the [Quotation Basis] attribute of this class, which specifies the denomination in which the instrument is traded in the markets, this attribute specifies the quantity in which the instrument itself is measured. This may differ from trading conventions for the instrument.
 Look-up M Unit
Min Denomination Amount — Defines the smallest amount in which the instrument can be held; i.e., the minimum amount of the instrument in which the buyer is allowed to invest. Amount M —
Nominal Currency — Currency in which the instrument is denominated. Also called denomination amount. Look-up M Currency (ISO 4217)
Quotation Basis —
  • Defines the default price quotation convention applicable to the instrument; e.g., Percentage-Clean, Percentage-Dirty, Unit-Based, Yield-Based, etc. The purpose of this field is to indicate the default basis for price quotes for the instrument.
  • As compared to the [Denomination Unit] attribute this attribute specifies denomination in which the instrument is traded in the markets.
 Look-up M Quotation Basis
Day Count Convention — Day count convention applicable to the instrument, for example ACT/ACT, 30/360, 30/360E, etc. Look-up M Day Count Convention
Settlement Date Offset Rule — Default number of days from the day the trade is done/issue is placed (T) until the trade is settled. For a standard T+3 settlement, this field should be set to “T+3B” if reported in business days or “T+3C” if reported in calendar days. Look-up M Date Offset Rule
Date Roll Rule — The Date Roll Rule Field specifies the convention to use when determining an appropriate business day in the case that a scheduled event happens to be a nonbusiness day unless adjusted in accordance to the given rule. Look-up O Date Roll Rule
Scheduled Maturity Date — Date on which the instrument is scheduled to legally cease to exist. Date O —
Is Valid — Signals whether an instance of this class is still currently valid or active. Indicator M —
Valid From Date — Defines the date from which the instrument is valid. Date O —
Valid To Date — Defines the date until which the instrument is valid. Date O —

SQL Table Generation Code

drop table if exists INSTRUMENT CORE;

create table if not exists INSTRUMENT CORE

(

   INSTRUMENT_ID                  int                            not null,

   INSTRUMENT_STATUS              varchar(10)                    not null,

   NAME                           text                           not null,

   PRIMARY_ASSET_CLASS            varchar(10)                    not null,

   DENOMINATION_UNIT              varchar(10)                    not null,

   NOMINAL_CURRENCY               varchar(10)                    not null,

   QUOTATION_BASIS                varchar(10)                    not null,

   DAY_COUNT_CONVENTION           varchar(10)                    not null,

   SETTLEMENT_DATE_OFFSET_RULE    varchar(10)                    not null,

   DATE_ROLL_RULE                 varchar(10),

   SCHEDULED_MATURITY DATE      date,

   IS_VALID                       tinyint(1)                     not null,

   VALID_FROM_DATE                datetime,

   VALID_TO_DATE                  datetime,

   primary key (INSTRUMENT_ID),

);

A.1.2 Instrument Analytic

The Instrument Analytic class allows us to represent analytic values such as estimated prices (as far as not stored in the Instrument Price class), accrued income, and other calculation results like Beta, Yield, and Volatility. It is the place where you store calculation results for later reuse.

Table A.2: Attribute definitions of the Instrument Analytic class

Attribute Name PK/FK Description Type M/O Domain
Instrument Analytic ID PK Unique identifier for an instance of this class. Automatically allocated by the system. Identifier M (Automatic)
Instrument ID FK System identifier of this instrument to which an instance of this class belongs. Identifier M Instrument ID
Analytic Scheme PK Type (or group) of analytics that an instance of this class represents. Look-up M Analytic Scheme
Analytic Scheme Element PK Specifies the specific analytic within an Analytic Scheme. Look-up M Analytic Scheme Element
Analytic Amount — Calculated analytic value. Amount M —
Unit — Unit of measurement in which the analytic value is denominated. Identifier M Unit
Period Start Date FK Start of the period for which the analytic value has been calculated. If it applies to a single point in time, the Period Start attribute should be set to that time. Date M —
Period End Date — End of the period for which the analytic value has been calculated. If the analytic is for a single point in time, the Period End attribute should be set to that time and coincides with [Period Start Date]. Date O —

SQL Table Generation Code

drop table if exists INSTRUMENT ANALYTIC;

create table if not exists INSTRUMENT ANALYTIC

(

   INSTRUMENT_ANALYTIC_ID         int                            not null,

   INSTRUMENT_ID                  int,

   ANALYTIC_SCHEME                varchar(10)                    not null,

   ANALYTIC_SCHEME_ELEMENT        varchar(10)                    not null,

   ANALYTIC_AMOUNT                float(10)                      not null,

   UNIT                           varchar(10)                    not null,

   PERIOD_START_DATE              datetime                       not null,

   PERIOD_END_DATE                datetime                       not null,

   primary key (INSTRUMENT_ANALYTIC_ID),

);

A.1.3 Instrument Cash Flow Element

The Instrument Cash Flow Element class allows us to represent the scheduled cash flow structure of the instrument; for example, any fixed, optional, or residual income or capital redemption cash flows scheduled for the instrument. The Instrument Cash Flow Element class is used in conjunction with one or more instances of the Instrument Cash Flow Schedule class.

Table A.3: Attribute definitions of the Instrument Cash Flow Element class

Attribute Name PK/FK Description Type M/O Domain
Cash Flow Element ID PK
  • Unique identifier for a Cash Flow Element that allows the modelling of complex trees of payoff structures using elementary building blocks.
  • The tag links the Cash Flow Element to other parts of the cash flow structure.
 String M —
Instrument ID FK System identifier of this instrument to which a particular Cash Flow Element belongs. Identifier M Instrument ID
Cash Flow Element Type PK Specifies the type of cash flow represented by the Cash Flow Element, such as fixed coupon, floating coupon, fixed or floating redemption, and redemption or coupon optionalities, conversion rights, and others. Look-up M Cash Flow Element Type
Period Start Date PK
  • Start of the period over which the Cash Flow Element is active; e.g.,
    • The start of a coupon period
    • The start of a redemption period
    • The start of an option exercise period
  • If an element is active at only one point in time (e.g., it has a single fixed coupon, redemption, or option exercise date), both Period Start Date and Period End Date should have the same value.
 Date M —
Period End Date — End of the period over which the Cash Flow Element is active, as started by Period Start Date. Date O —
Base Instrument Identifier Type —
  • The Base Instrument attribute specifies the currency or other instrument (e.g., gold) in which the cash flow represented by an instance of this class is denominated.
  • This may be the same as the Nominal Currency in the Instrument Core class for simple instruments but can be a different instrument for structured and hybrid instruments and need not be a currency. For example, it could be a commodity like gold in the case of a commodity-linked income, redemption or optionality feature of a commodity-linked structured debt or hybrid instrument.
  • Currencies are set up as instruments with Numbering Scheme equal to Currency ISO 3166.
 Look-up M Numbering Scheme
Base Instrument Identifier — Identifier value corresponding to Base Instrument Identifier Type. String M —
Base Unit — Unit on which the Cash Flow Element is based, usually either UNIT or NOTIONAL. NOTIONAL is the normal unit for debt coupons and redemptions and UNIT is the normal unit for equity or fund elements. Look-up M Unit
Base Value —
  • Notional or nominal amount on which the element is based per unit of the instrument. Mainly used to specify an issue discount on the Cash Flow Element.
  • To be divided by the Base Value Denominator.
 Number M —
Base Value Denominator —
  • Actual amount paid for the instrument at issue. Used to divide the Base Value.
  • The Base Value Denominator is less than the Base Value if the instrument is issued at a discount and greater than the Base Value if the instrument is issued at a Premium.
  • For redemption Cash Flow Elements this allows us to record the effective actual or implied issue price.
 Number M —
Rate Constant —
  • Fixed pay-off rate for the Cash Flow Element.
  • For debt coupons this represents
    • The coupon rate of fixed coupon bonds
    • The fixed spread in the case of floaters
  • For debt redemptions this is the rate of the Base Unit to be redeemed not conditional on any other terms. This is normally 1.0 (or 100 %) but may be higher or lower.
 Rate M —
Rate Factor —
  • Multiplier for any variable part of the overall payoff defined by the Cash Flow Element.
  • For debt coupons this is the multiplier by which the underlying rate is to be adjusted, often set to 1.0. See Underlying related attribute for the identification of the underlying rate.
  • For debt redemptions this is the multiplier by which the underlying rate is to be adjusted to arrive at the variable part of the redemption (if any). Set to 0 (or 0%) in the case if there is no variable part.
  • For variable redemption structures it may be 1.00 (or 100%) of a cumulative return reference instrument. If this is the case the Index Base constant will need to be set to take into account initial cumulative of the underlying.
 Number O —
Cap — Maximum payoff rate for the Cash Flow Element. Used in conjunction with Rate Constant and Rate Factor. Amount O —
Floor — Maximum payoff rate for the Cash Flow Element. Used in conjunction with Rate Constant and Rate Factor. Amount O —
Underlying Instrument Identifier Type — Specifies the instrument used as reference for any variable payoff components. For Floating Rate Coupons or Variable Redemption elements this is the instrument on which the variable rate or redemption will be based. Look-up O Numbering Scheme
Underlying Instrument Identifier — Identifier value for Underlying Instrument Identifier Type. String O —
Underlying Type — Specifies whether the underlying is a single instrument, a portfolio, or if the underlying is a set of child elements to be chained together in sequence. Look-up O Underlying Type
Underlying Price Type — Price type of the reference series to be used for fixing the payoff entitlement for the Cash Flow Element. This may be closing price, interest rate, cumulative value or return, variance, etc., as appropriate. Look-up O Price Type

SQL Table Generation Code

drop table if exists INSTRUMENT CASH FLOW ELEMENT;

create table if not exists INSTRUMENT CASH FLOW ELEMENT

(

   CASH_FLOW_ELEMENT_ID           int                          not null,

   INSTRUMENT_ID                  int                          not null,

   CASH_FLOW_ELEMENT_TYPE         varchar(10)                    not null,

   PERIOD_START_DATE              datetime                       not null,

   PERIOD_END_DATE                datetime,

   BASE_INSTRUMENT_IDENTIFIER_TYPE varchar(10)                    not null,

   BASE_INSTRUMENT_IDENTIFIER     varchar(20)                    not null,

   BASE_UNIT                      varchar(10)                    not null,

   BASE_VALUE                     varchar(10)                    not null,

   BASE_VALUE_DENOMINATOR         varchar(10)                    not null,

   RATE_CONSTANT                  numeric(10,6)                  not null,

   RATE_FACTOR                    numeric(10,6),

   CAP                            numeric(10,6),

   FLOOR                          numeric(10,6),

   UNDERLYING_INSTRUMENT_IDENTIFIER_TYPE varchar(10),

   UNDERLYING_INSTRUMENT_IDENTIFIER varchar(20),

   UNDERLYING_TYPE                varchar(10),

   UNDERLYING_PRICE_TYPE          varchar(10),

   primary key (CASH_FLOW_ELEMENT_ID),

);

A.1.4 Instrument Cash Flow Schedule

The Instrument Cash Flow Schedule class specifies the first and last dates on which a particular cash flow event for a Cash Flow Element is planned to occur, as well as how to determine any future regular recurrences of that event.

Table A.4: Attribute definitions of the Instrument Cash Flow Schedule class

Attribute Name PK/FK Description Type M/O Domain
Cash Flow Schedule ID PK Unique identifier for an instance of this class. Automatically allocated by the system. Identifier M (Automatic)
Cash Flow Element ID FK Identifies Cash Flow Element to which an instance of this class belongs. String M —
Cash Flow Schedule Type — Type of event the series of which is modelled by the instance of the Cash Flow Schedule class; e.g., accrual date, settlement date, fixing date, etc. Look-up M Cash Flow Schedule Type
Repetition Period Type — Specifies the type of period defined for the repetition of the event; e.g., Day, Week, Month, Year. Look-up O Repetition Period Type
Repetition Period Length — Specifies the length of the interval between successive repetitions of the event in terms of the defined period type; e.g., 2 (days), 3 (months), etc. Number O —
Schedule Start Date — Specifies the first occurrence of the Cash Flow Element and the start of the repetition sequence if the Cash Flow Element is recurring. Date M —
Schedule End Date — Specifies the last occurrence of the Cash Flow Element if the Cash Flow Element is recurring. If it is not recurring it must be set to the same date as the Schedule Start Date attribute. Date M —

SQL Table Generation Code

drop table if exists INSTRUMENT CASH FLOW SCHEDULE;

create table if not exists INSTRUMENT CASH FLOW SCHEDULE

(

   CASH_FLOW_SCHEDULE_ID          int                            not null,

   CASH_FLOW_ELEMENT_ID           int                            not null,

   INSTRUMENT_ID                  int                            not null,

   CASH_FLOW_SCHEDULE_TYPE        varchar(10)                    not null,

   REPETITION_PERIOD_TYPE         varchar(10),

   REPETITION_PERIOD_LENGTH       varchar(10),

   SCHEDULE_START_DATE            datetime                       not null,

   SCHEDULE_END_DATE              datetime                       not null,

   primary key (CASH_FLOW_SCHEDULE_ID),

);

A.1.5 Instrument Cash Flow Fixing

The Instrument Cash Flow Fixing class of attributes allows the representation of actual fixings that have taken place, defining the actual values of any variable coupon, redemption, or cash flow related parameters such as pool factors for any instrument.

Table A.5: Attribute definitions of the Instrument Cash Flow Fixing class

Attribute Name PK/FK Description Type M/O Domain
Cash Flow Fixing ID PK Unique identifier for an instance of this class. Automatically allocated by the system. Identifier M (Automatic)
Instrument ID FK Unique identifier for this instrument data record. This attribute specifies the instrument to which an instance of this class belongs. Identifier M Instrument ID
Cash Flow Element ID   Specifies the element to which an instance of this class belongs. String O —
Cash Flow Fixing Type   Specifies the type of instrument element to which the fixing value applies. Look-up M Cash Flow Fixing Type
Fixing Date   Specifies the date on which the actual fixing has taken place. Date O —
Effective Date   Specifies the date from which onward the fixed value applies. Date M —
Fixing Value   Specifies the actual value determined for the fixing. Amount M —
Fixing Unit   Specifies the unit in which the fixing is expressed. Look-up M Unit

SQL Table Generation Code

drop table if exists INSTRUMENT CASH FLOW FIXING;

create table if not exists INSTRUMENT CASH FLOW FIXING

(

   CASH_FLOW_FIXING_ID            int                            not null,

   CASH_FLOW_ELEMENT_ID           int                            not null,

   INSTRUMENT_ID                  int                            not null,

   CASH_FLOW_FIXING_TYPE          varchar(10)                    not null,

   FIXING_DATE                    datetime,

   EFFECTIVE_DATE                 datetime                       not null,

   FIXING_VALUE                   numeric(15,6)                  not null,

   FIXING_UNIT                    varchar(10)                    not null,

   primary key (CASH_FLOW_FIXING_ID),

);

A.1.6 Instrument Identifier

The Instrument Identifier class or attributes captures information on the instrument identification. Data on multiple identifiers for the same instrument can be stored in a repetitive mode.

Table A.6: Attribute definitions of the Instrument Identifier class

Attribute Name PK/FK Description Type M/O Domain
Instrument Identifier ID PK Unique identifier for an instance of this class. Automatically allocated by the system. Identifier M (Automatic)
Instrument ID FK System identifier of this instrument to which an instance of this class belongs. Identifier M —
Numbering Scheme — Specifies the identifier coding scheme or numbering scheme according to which a value for this financial instrument is stored. The numbering scheme can be, for example, ISIN. Look-up M Numbering Scheme
Identifier Value — Stores the actual value of the identifier, for example the ISIN code for this financial instrument. String M —

SQL Table Generation Code

drop table if exists INSTRUMENT IDENTIFIER;

create table if not exists INSTRUMENT IDENTIFIER

(

   INSTRUMENT_IDENTIFIER_ID       int                            not null,

   INSTRUMENT_ID                  int                            not null,

   NUMBERING_SCHEME               varchar(10)                    not null,

   IDENTIFIER_VALUE               varchar(20)                    not null,

   primary key (INSTRUMENT_IDENTIFIER_ID),

);

A.1.7 Instrument Income Payment

The Instrument Income Payment class records the history of actual income payments for an instrument. This includes declared and actually settled dividend payments as well as actual coupon payments. For the purpose of this book, we abstract from noncash income as well as any tax considerations.

Table A.7: Attribute definitions of the Instrument Income Payment class

Attribute Name PK/FK Description Type M/O Domain
Income Payment ID PK Holds the unique system internal identifier for the record. Identifier M —
Instrument ID FK System identifier of this instrument to which an instance of this class belongs. Identifier M Instrument ID
Income Event Type —
  • Specifies the type of income event that leads to the income arising.
  • Determines whether the corporate action event relates to an actual coupon payment (INTR) the announcement of the coupon fixing for a floating rate instrument (CPNR).
 Identifier M Income Event Type
Period Start Date —
  • Specifies the start of the period to which the income payment relates.
  • For debt instruments this is the start date of the coupon period to which the coupon payment or fixing refers. For shares this is the start date of the period to which the dividend payment relates.
 Date O —
Period End Date — Specifies the end of the period started by Period Start Date. Date O —
Income Accrued in Cash — Specifies the actual value of the income in terms of the Nominal Currency. Amount M —

SQL Table Generation Code

drop table if exists INSTRUMENT INCOME PAYMENT;

create table if not exists INSTRUMENT INCOME PAYMENT

(

   INCOME_PAYMENT_ID              int                            not null,

   INSTRUMENT_ID                  int                            not null,

   INCOME_EVENT_TYPE              varchar(10)                    not null,

   PERIOD_START_DATE              datetime,

   PERIOD_END_DATE                datetime,

   INCOME_ACCRUED_IN_CASH         numeric(10,6)                  not null,

   primary key (INCOME_PAYMENT_ID),

);

A.1.8 Instrument Index Version

The Instrument Index Version and Instrument Index Constituent attribute classes allow us to represent Index definitions and versions of these definitions such as Equity or Bond Indices.

The Instrument Index Version allows us to record a unique set of parameters and constituents applicable for a defined period. If the constituents or parameters of an index are changed, a new version of the index is created.

Table A.8: Attributes of the Instrument Index Version class

Attribute Name PK/FK Description Type M/O Domain
Index Version ID PK Holds the unique system internal identifier for the record. Identifier P —
Instrument ID FK System identifier of this instrument to which an instance of this class belongs. Identifier M Instrument ID
Index Valuation Formula — Specifies the formula used to calculate the index value. Look-up M Index Valuation Formula
Index Valuation Variable — Specifies the variable used for representing the value of each index component. Look-up M Index Valuation Variable
Index Weighting Variable — Specifies the variable used for representing the weight of each index component. Look-up M Index Weighting Variable
Initial Amount — Specifies the initial value of the index version. Allows normalisation of the index at inception to a certain value. Amount M —
Is Market Price Required — Specifies whether market prices are required for this index or whether evaluated prices are acceptable. Indicator M —
Minimum Constituents — Specifies the minimum number of constituents required for a valid index calculation. Amount M —
Minimum Days Near Maturity Amount — Specifies the minimum remaining life for an instrument that can be included in the index. Amount M —
Maximum Missing Price Threshold — Specifies the maximum age of prices in calendar days to be used in the index calculation. Amount M —
Chaining Factor —
  • Specifies the multiplier that chains together the current version with its predecessor.
  • It captures the multiplier to link the last calculated value of the previous index version to the first calculated value of the current index version.
 Amount M —
Is Official — Signals whether an instance of this class is from an official source or deemed to be official. Indicator M —
Is Valid — Signals whether the information provided in this record is still currently valid or active. This flag has special significance in candidate and compound records. Indicator M —
Valid From Date — Defines the date from which the information provided in this record is valid for the financial instrument. Date M —
Valid To Date — Defines the date until which the information provided in this record is valid for the financial instrument. Date O —

A.1.9 Instrument Index Constituent

The Instrument Index Constituent class is used to record the financial instruments that are used for an index. Details on how to set up custom indices are given in Chapter 9.

Table A.9: Attributes of the Instrument Index Constituent class

Attribute Name PK/FK Description Type M/O Domain
Index Constituent Identifier PK Holds the unique system internal identifier for the record. Identifier M N/A
Instrument ID FK System identifier of this instrument to which an instance of this class belongs. Identifier M Instrument ID
Index Version ID FK Specifies the index version to which this constituent belongs. Identifier M Instrument Index Version ID
Weight Factor — Specifies the weighting to be given to the instrument within the index. Amount M N/A
Chaining Factor — Specifies the multiplier to be used to adjust the value of this constituent before it is used in the index calculation. This normally is used to adjust for example for dividends and stock split. Amount M N/A
Is Valid — Signals whether the information provided in this record is still currently valid or active. This flag has special significance in candidate and compound records. Indicator M N/A
Valid From Date — Defines the date from which the information provided in this record is valid for the financial instrument. Date O N/A
Valid To Date — Defines the date until which the information provided in this record is valid for the financial instrument. Date O N/A

A.1.10 Instrument Issuance

The Instrument Issuance class of attributes represents the history of Issuance events for an instrument. We do not enter into the intricacies of various offer types, and issuance statuses or issuance events. We only record issuance data for instruments that have actually been issued and record the factual issuance data.

Table A.10: Attributes of the Instrument Issuance class

Attribute Name PK/FK Description Type M/O Domain
Instrument Issuance ID PK Unique system internal identifier for any instance of this class. Identifier P N/A
Instrument ID FK Unique identifier for this instrument data record. This attribute specifies the instrument to which an instance of this class belongs. Identifier M Instrument ID
Issuance Transaction Type   Specifies the type of the transaction; e.g., IPO, SPO, Redenomination, Stock Split, Buy-Back, etc. Identifier M Issuance Transaction Type
Number Of Tranches  
  • Used in case of multitranche offering to indicate the number of separately and explicitly defined tranches.
  • This applies, for example, to retail offering, institutional offering, domestic offering, etc.
 Amount O N/A
Name Of Tranche  
  • Used in case of multitranche offering, where it captures the actual name of this tranche or the Tranche ID.
  • This attribute identifies the tranche (in case of multiple tranches) or the program to which the issuance is related.
  • In case that multiple issuance transactions take place on the same date, this number tracks them separately.
 String O N/A
Issuance Paid Amount  
  • Specifies the actual change in the overall amount issued due to this issuance transaction.
  • In the case of issuance transactions increasing the overall amount outstanding, this attribute is positively defined. In case of a buy-back decreasing the overall amount issued, this amount is negatively defined.
 Amount O N/A
Issuance Amount Currency   Specifies the currency on which the Issuance Paid Amount and the Issuance Offer Amount are expressed. Identifier M Currency (ISO 4217)
Issuance Paid Number  
  • Specifies the number of units issued in this issuance transaction.
  • To be filled in only if the record corresponds to a transaction where the company issues/creates primary shares (as opposed to a sale of secondary/existing shares by an existing shareholder). For some transactions (e.g., buy-backs or reverse stock splits like a 2 to 1 where 2 old shares become 1 new share), this field could contain negative values.
 Amount O N/A
Issue Price  
  • Specifies the total value of all consideration physical and cash ultimately paid for each unit of the instrument, expressed in terms of the Consideration Currency.
  • This is the final price for which the units of the instrument ultimately are sold.
 Amount O N/A
Consideration Currency  
  • Also called Issue Price Currency; specifies the currency in which any consideration for the issuance transaction is paid.
  • Currency in which the transaction is settled.
 Identifier O Currency (ISO 4217)
Consideration Cash   The part of the issue price that is paid in cash (equal to total issue price in the case that no physical payment is made). The Consideration Cash is any net cash amount paid or received by the investor for the issuance transaction. Amount O N/A
Consideration Physical   The part of the issue price that is paid in noncash (e.g., delivery of securities). Amount O N/A
Consideration Instrument ID   Specifies the instrument in which the consideration physical is denominated (instrument ID for any instrument used as physical payment). Identifier O Instrument ID
Accrued Coupon At Issue   Accrued coupon for securities (in %) as a decimal number corresponding to the percentage of nominal. This attribute applies where Accrual Start Date is prior to the Issue Date. Number O N/A

A.1.11 Instrument Issuance Date

The Instrument Issuance Date class of attributes represents the set of dates applicable to the history of issuance transactions recorded for an instrument.

Table A.11: Attributes of the Instrument Issuance class

Attribute Name PK/FK Description Type M/O Domain
Issuance Date ID PK Unique system internal identifier for any instance of this class. Identifier P N/A
Instrument ID FK Unique identifier for this instrument data record. This attribute specifies the instrument to which an instance of this class belongs. Identifier M Instrument ID
Instrument Issuance ID — Unique system internal identifier for any instance of the Instrument Issuance class. Identifier M Issuance ID
Issuance Date Type — Specifies the stage of the issuance process to which the date specified in Issuance Date refers. Date O Issuance Date Type
Issuance Date — Specifies the date corresponding to the stage of the issuance process defined in Issuance Date type. Date O N/A

A.1.12 Instrument Rating

The Instrument Rating class of attributes may be used to represent the various proprietary and public ratings that are assigned to instruments and reviewed from time to time. This includes credit ratings for bonds as well as more general risk ratings.

Table A.12: Attribute definitions of the Instrument Rating class

Attribute Name PK/FK Description Type M/O Domain
Instrument Rating ID PK Unique system internal identifier for any instance of this class. Identifier M —
Instrument ID FK System identifier of this instrument to which an instance of this class belongs. Identifier M Instrument ID
Rating Scheme — Specifies the rating agency and the type of rating to which the Rating Scheme Value corresponds; e.g., Moody’s Short Term Rating, etc. Look-up M Rating Scheme
Rating Scheme Value — Specific rating given to the instrument. String M  
Is Valid — Indicates whether an instance of this class is still currently valid or active. Indicator M —
Valid From Date —
  • Date of assignment of this rating.
  • Defines the date from which an instance of this class is valid in the real world (date as of which the information provided is valid for the financial instrument).
 Date O —
Valid To Date —
  • Date on which the assignment of this rating ends (because the rating has been changed).
  • Defines the date until which an instance of this class is valid in the real world (date until when the information provided is valid for the financial instrument).
 Date O —

SQL Table Generation Code

drop table if exists INSTRUMENT RATING;

create table if not exists INSTRUMENT RATING

(

   INSTRUMENT_RATING_ID           int                            not null,

   INSTRUMENT_ID                  int,

   RATING_SCHEME                  varchar(10)                    not null,

   RATING_SCHEME_VALUE            varchar(20)                    not null,

   IS_VALID                       tinyint(1)                     not null,

   VALID_FROM_DATE                datetime,

   VALID_TO_DATE                  datetime,

   primary key (INSTRUMENT_RATING_ID),

   unique (),

);

A.1.13 Instrument Relationship Condition

The Instrument Relationship Condition class represents constraints in terms of relationships between the financial instrument concerned and other financial instruments. Examples are the linkage of benchmarks to portfolios, programmes of short term debt issuances and derivative contract specifications from which actual contracts are derived. Actual Instruments derived from these should then follow the patterns defined in this way.

Table A.13: Attributes of the Instrument Relationship Condition class

Attribute Name PK/FK Description Type M/O Domain
Instrument Relationship Condition ID PK The Instrument Relationship Condition Identifier holds the unique system internal identifier for the record. Identifier P N/A
Instrument ID FK The Instrument Identifier species the financial instrument for which the relationship condition is defined. Identifier M Instrument ID
Condition Scheme —
  • The Relationship Condition Scheme attribute specifies the Condion Scheme from which the Condition Scheme Function below is referenced.
  • From the Condition Scheme code list only Condition Schemes with Scheme Type = “RELSHP” are admitted.
 Identifier M Condition Scheme
Condition Scheme Function —
  • The Condition Scheme Function attribute specifies the function or purpose of the constraint.
  • It can specify the format or domain in which the attributes Condition Minimum and Condition Maximum are formulated.
 Identifier M Condition Scheme Function
Condition Relationship Type — The Condition Relationship Type attribute specifies the relationship type applicable to the condition, e.g., the type of relationship required. String M Condition Relationship Type
Condition Instrument ID —
  • The Condition Instrument Identifier specifies for the instrument prototype (template) a specific instrument either as the default instrument or as the required instrument for the specified relationship.
  • For any instruments derived from the instrument prototype for which an instance of this class is defined are required to have a relationship of the given type and characteristics with.
 Identifier O Instrument ID
Condition Instrument Role Type —
  • The Condition Instrument Role Type attribute specifies the role an instrument must have in order to be eligible for the required relationship.
  • For example, this attribute may specify that the Instrument entering a relationship as underlying must be a specific Interbank Rate, e.g., 3 month LIBOR.
 Identifier O Condition Instrument Role Type
Condition Minimum — The Condition Minimum attribute specifies the minimum number of active relationships of the given type required. Amount O N/A
Condition Maximum — The Condition Maximum attribute specifies the maximum number of active relationships allowed. Amount O N/A
Constraint Type —
  • The Constraint Type attribute specifies the precise type of constraint to be set.
  • The kind of constraints can be for instance “REQUIRED—NO DEFAULT”, “REQUIRED—WITH DEFAULT”, etc.
 Identifier M Constraint Type
Is Valid — The Is Valid attribute indicates whether an instance of this class is still currently valid or active. This flag has special significance in candidate and compound records. Indicator O N/A
Valid From Date — The Valid From attribute defines the date from which an instance of this class is valid. Date as of which the information provided is valid for the financial instrument. Start date of the current version of the financial instrument. Date O N/A
Valid To Date — The Valid To attribute defines the date until which an instance of this class is valid. Date until when the information provided is valid for the financial instrument. End date of the current version of the financial instrument. Date O N/A

A.2 The Portfolio Model

A.2.1 Portfolio Version

The Portfolio Version and Portfolio Constituent attribute classes allow us to store information on portfolios of instruments.

The Portfolio Version records a unique set of parameters and constituents applicable for a defined period. Portfolio versions may be used if there are changing parameters or if constituent sets are to be frozen.

Table A.14: Attributes of the Portfolio Version class

Attribute Name PK/FK Description Type M/O Domain
Portfolio Version ID PK Unique system internal identifier for any instance of the Instrument Curve Version class. Identifier P —
Instrument ID FK System identifier of this instrument to which an instance of this class belongs. Identifier M Instrument ID
Portfolio Version Scheme — Specifies the purpose for which the portfolio version is being used. Identifier O Portfolio Version Scheme
Is Valid — Signals whether the information provided in this record is still currently valid or active. This flag has special significance in candidate and compound records. Indicator M —
Valid From Date — Defines the date from which the information provided in this record is valid for the financial instrument. Date O —
Valid To Date — Defines the date until which the information provided in this record is valid for the financial instrument. Date O —

SQL Table Generation Code

drop table if exists PORTFOLIO VERSION;

create table if not exists PORTFOLIO VERSION

(

   PORTFOLIO_VERSION_ID           int                            not null,

   INSTRUMENT_ID                  int,

   PORTFOLIO_VERSION_SCHEME       varchar(10)                    not null,

   IS_VALID                       tinyint(1)                     not null,

   VALID_FROM_DATE                datetime,

   VALID_TO_DATE                  datetime,

   primary key (PORTFOLIO_VERSION_ID),

   unique (),

);

A.2.2 Portfolio Constituent

The Portfolio Constituent class of attributes is used to record the financial instruments that compose a portfolio. See Chapter 9 for details on how to set up portfolios.

Table A.15: Attributes of the Portfolio Constituent class

Attribute Name PK/FK Description Type M/O Domain
Constituent Instrument ID PK Unique system internal identifier for constituent records. Identifier M —
Portfolio Version ID FK Specifies the portfolio version for which this constituent is used. Identifier M Portfolio Version ID
Instrument ID FK System identifier of this instrument to which an instance of this class belongs. Identifier M Instrument ID
Weight Factor — Defines the weight of the financial instrument within the portfolio. Amount M —
Effective Date — Defines the date from which onward the constituent is active within the portfolio version. Date M —
Constituent Function — Specifies the purpose for which this constituent has been recorded. Identifier M Constituent Function
Base Cost Amount — Defines the value of the instrument constituent as a chosen (normalising) base price. Amount O —
Base Cost Currency — Currency that is used for the Base Cost Amount. Identifier O Currency (ISO 4217)
Is Valid — Signals whether the information provided in this record is still currently valid or active. This flag has special significance in candidate and compound records. Indicator M —
Valid From Date — Defines the date from which the information provided in this record is valid for the financial instrument. Date O —
Valid To Date — Defines the date until which the information provided in this record is valid for the financial instrument. Date O —

SQL Table Generation Code

drop table if exists PORTFOLIO CONSTITUENT;

create table if not exists PORTFOLIO CONSTITUENT

(

   CONSTITUENT_INSTRUMENT_ID      int                            not null,

   PORTFOLIO_VERSION_ID           int                            not null,

   INSTRUMENT_ID                  int,

   WEIGHT_FACTOR                  numeric(10,2)                  not null,

   EFFECTIVE_DATE                 datetime                       not null,

   CONSTITUENT_FUNCTION           varchar(10)                    not null,

   BASE_COST_AMOUNT               numeric(10,6),

   BASE_COST_CURRENCY             varchar(10),

   IS_VALID                       tinyint(1)                     not null,

   VALID_FROM_DATE                datetime,

   VALID_TO_DATE                  datetime,

   primary key (CONSTITUENT_INSTRUMENT_ID),

   unique (),

   unique (),

   ,

);

A.2.3 Portfolio Position

The Portfolio Position class of attributes is used to record valuations, risk and return measures for financial instruments that compose a portfolio. See Chapter 9 for details on how to model portfolios.

Table A.16

Attribute Name PK/FK Description Type M/O Domain
Portfolio Instrument PK ID of the portfolio. NUMBER M —
Portfolio Version FK ID of the portfolio snapshot or version. VARCHAR2 M —
Constituent Instrument FK ID of the instrument held in the portfolio. NUMBER M —
Quantity — Long (+) or short (−) position held. NUMBER   —
Valuation — This is either the cost, valuation, or period return for the position. NUMBER   —
Effective Date — Date of last revision to the position. DATE   —
Position Transaction Reference — Cross reference to the transaction that established the position. NUMBER   —
Position Function — Type of position. VARCHAR2   —
Position Stage — Type of position. VARCHAR2   —
Currency — Currency of the position. VARCHAR2   —
Is Valid — Indicates whether the position is still in use for current or historical reporting or has been entirely superseded. NUMBER   —
Valid From Date — Date from which the position existed or the beginning of a period from which to measure the return on the position. DATE   —
Valid To Date — Last date on which the position existed or the end of a period from which to measure the return on the position. DATE   —

A.2.4 Benchmark Component

The Benchmark Component class of attributes is used to store information on portfolio benchmarks that is to be mapped to portfolios via the Instrument Relationship Condition Class.

Table A.17

Attribute Name PK/FK Description Type M/O Domain
Benchmark Instrument PK Id of the Benchmark. NUMBER M —
Benchmark Version FK Id of the Benchmark Snapshot or Version. VARCHAR2 M —
Component Instrument — Id of the Instrument held in the benchmark. NUMBER   —
Weight Factor — Weight of the component in the benchmark. NUMBER   —
Return Factor — Return of the component over a given period. NUMBER   —
Chaining Factor —   NUMBER   —
Effective Date — Date of last revision to the position. DATE   —
Position Function — Type of position. VARCHAR2   —
Position Stage — Type of position. VARCHAR2   —
Currency — Currency of the Benchmark Component. VARCHAR2   —
Is Valid — Indicates whether the position is still in use for current or historical reporting or has been entirely superseded. NUMBER   —
Valid From Date — Date from which the position existed or the beginning of a period for which to measure the return on the position. DATE   —
Valid To Date — Last date on which the position existed or the end of a period for which to measure the return on the position. DATE   —

A.3 The Party Model

A.3.1 Party Core

The Party Core class stores information about organisations. It refers to organisations participating in operations with financial instruments acting as one or more of the following roles: issuer, issuer parent organisation, guarantor, depository, exchange, data source, and so on.

Table A.18: Attribute definitions of the Party Core class

Attribute Name PK/FK Description Type M/O Domain
Party ID PK Unique system identifier for any instance of this class. Identifier M —
Name — Stores the actual name. String M —
Party Type — Specifies the form of the party; e.g., company or other commercial legal entity, sovereign government, unincorporated division, etc. Look-up M Party Type
Current Status — Specifies the present status of the party; e.g., active, dissolved, etc. Look-up M Party Status
Domicile Country — Specifies the country in which the party is domiciled. Domicile is the country of registration/incorporation. Look-up M Country (ISO 3166)
Registration Place —
  • Specifies the name and (possibly) location of the registration authority or jurisdiction of the party.
  • In the case of most European countries this is the name of the authority in combination with the name of the city in which the company has been registered (e.g., for Germany: Amtsgericht Darmstadt).
  • For the UK, this would be representing the jurisdiction applying, such as “England & Wales” for an English or Welsh company, “Scotland” for a Scottish company.
 String O —
Base Currency — Specifies the primary currency in which the party’s accounting records are denominated. Look-up O Currency (ISO 4217)
Is Valid — Indicates whether an instance of this class is still currently valid or active. This flag has special significance in candidate and compound records. Indicator M —
Valid From Date — Defines the date from which an instance of this class is valid. Date O —
Valid To Date — Defines the date until which an instance of this class is valid. Date O —

SQL Table Generation Code

drop table if exists PARTY CORE;

create table if not exists PARTY CORE

(

   PARTY_ID                       int                            not null,

   NAME                           text                           not null,

   PARTY_TYPE                     varchar(10)                    not null,

   CURRENT_STATUS                 varchar(10)                    not null,

   BASE_CURRENCY                  varchar(10),

   IS_VALID                       tinyint(1)                     not null,

   VALID_FROM_DATE                datetime,

   VALID_TO_DATE                  datetime,

   primary key (PARTY_ID)

);

A.3.2 Party Account

The package Party Account represents financial profiles and reports for parties. This includes income, balance sheet, and flow of funds statements, as well as lower level analytical accounts. The Party Account class stores financial profiles and reports for parties. This includes income, balance sheet, and flow of funds statements as well as lower level analytical accounts.

Table A.19: Attribute definitions of the Party Account class

Attribute Name PK/FK Description Type M/O Domain
Party Account ID PK Unique system internal identifier for any instance of this class. Identifier P —
Party ID FK Specifies the party to which an instance of this class belongs. Identifier M Party ID
Party Account Scheme — Specifies the scheme from which the Party Account Scheme Value is selected. Look-up O Party Account Scheme
Party Account Scheme Element —
  • Specifies the function or purpose of the amount within a financial report that an instance of this class represents.
  • For example, this could indicate that the amount is Shareholders Equity in a balance sheet report or Gross Revenue from Sales in an income statement.
 Look-up M Party Account Scheme Element
Party Account Amount Function —
  • Indicates the function of the party account amount(s).
  • This can be, for example, End of Year Balance, Half Year Balance, Quarterly Balance, Month End Balance, Account Movement, etc.
 Look-up M Party Account Amount Function
Party Account Status — Specifies the present status of the Party Account. For instance, this could be OPEN, RECONCILED, CLOSED, etc. Look-up M Party Account Status
Original Currency — Specifies the currency in which the Original Currency Amount is denominated. Look-up M Currency (ISO 4217)
Original Currency Amount —
  • Stores the actual value of the stock or flow amount in the given financial report in the original currency.
  • The original currency of record is the transaction currency behind.
 Amount M —
Base Currency Amount — Records the stock or flow amount expressed in terms of the base currency on which the accounting records of the party are denominated. Amount M —
Period Start Date —
  • Defines the start of the period to which the party account amount(s) applies, for period based statements.
  • If the party account amount(s) refer to a single point in time rather than a period, the Period Start attribute should be set to the same value as Period End.
 Date M —
Period End Date —
  • Defines the end of the period to which the party account amount(s) apply, for period based statements.
  • If the party account amount(s) refers to a single point in time rather than a period, the Period End attribute should be set to that date.
 Date M —
Narrative — Allows storing an optional short comment for the party account amount. String O —
Debit Credit — Specifies whether the party account amount is a debit or credit entry. Look-up M Debit Credit
Is Valid — Indicates whether an instance of this class is still currently valid or active. This flag has special significance in candidate and compound records. Indicator M —

SQL Table Generation Code

drop table if exists PARTY ACCOUNT;

create table if not exists PARTY ACCOUNT

(

   PARTY_ACCOUNT_ID               int                            not null,

   PARTY_ID                       int                            not null,

   PARTY ACCOUNT SCHEME         varchar(10)                    not null,

   PARTY_ACCOUNT_SCHEME_ELEMENT   varchar(10)                    not null,

   PARTY_ACCOUNT_AMOUNT_FUNCTION  varchar(10)                    not null,

   PARTY_ACCOUNT_STATUS           varchar(10)                    not null,

   ORIGINAL_CURRENCY              varchar(10)                    not null,

   ORIGINAL_CURRENCY_AMOUNT       numeric(10,2)                  not null,

   BASE_CURRENCY_AMOUNT           numeric(10,2)                  not null,

   PERIOD_START_DATE              datetime                       not null,

   PERIOD_END_DATE                datetime                       not null,

   NARRATIVE                      varchar(255),

   DEBIT_CREDIT                   varchar(10)                    not null,

   IS VALID                     tinyint(1)                     not null,

   primary key (PARTY_ACCOUNT_ID),

);

A.3.3 Party Analytic

The Party Analytic package contains the class of attributes needed to represent imported or calculated analytic values for a party, such as earnings per share and others. The Party Analytic class stores imported, derived, or calculated analytic values for a party. It stores information that can represent simple scalar analytics, such as volatility, as well as information for curve-based analytics. Curve-based analytics include, for example, default curves in the case of funds or accounting, performance, and financial ratios for other issuers.

Table A.20: Attribute definitions of the Party Analytic class

Attribute Name PK/FK Description Type M/O Domain
Party Analytic ID PK Unique system internal identifier for any instance of this class. Identifier P —
Party ID FK Specifies the party to which an instance of this class belongs. Identifier M Party ID
Analytic Scheme — Specifies the category of analytics to which an instance of this class belongs such as Accounting analytics or Volatility. Look-up M Analytic Scheme
Analytic Scheme Element —
  • Specifies the precise type of analytic that an instance of this class represents.
  • This could be a ratio such as Interest Cover, Dividend Cover, Quick Ratio, or in the case of a fund, the volatility of the underlying fund portfolio.
 Look-up M Analytic Scheme Element
Analytic Amount — Records the actual calculated analytic value. Amount M —
Calculation Date — Specifies the date and time at which the Analytic Amount was calculated. Date M —
Unit — Defines the unit of measurement in which the Analytic Amount is denominated. Look-up M Unit
Currency — Specifies the currency in which the Analytic Amount is denominated, if applicable. Look-up O Currency (ISO 4217)
Period Start Date —
  • Defines the start of the period from which the analytic value has been calculated.
  • If the analytic is for a single point in time rather than a period the Period Start attribute should be set to that time.
  • In the case of funds examples are:
    • Effective date of total assets under management
    • Start date of the period to which the turnover ratio refers
 Date M —
Period End Date —
  • Defines the end of the period from which the analytic value has been calculated.
  • If the analytic is for a single point in time rather than a period the Period End attribute should be set to that time.
 Date O —
Is Valid — Indicates whether an instance of this class is still currently valid or active. This flag has special significance in candidate and compound records. Indicator M —

SQL Table Generation Code

drop table if exists PARTY ANALYTIC;

create table if not exists PARTY ANALYTIC

(

   PARTY_ANALYTIC_ID              varchar(10)                    not null,

   PARTY_ID                       int                            not null,

   ANALYTIC_SCHEME                varchar(10)                    not null,

   ANALYTIC_SCHEME_ELEMENT        float(10)                      not null,

   CALCULATION_DATE               datetime                       not null,

   UNIT                           varchar(10)                    not null,

   CURRENCY                       varchar(10),

   PERIOD_START_DATE              datetime                       not null,

   PERIOD_END_DATE                datetime,

   IS VALID                     varchar(10)                    not null,

   primary key (PARTY_ANALYTIC_ID),

);

A.3.4 Party Industry Classification

The Party Industry Classification allows us to store information about the party’s economic activity.

Table A.21: Attribute definitions of the Party Industry Classification class

Attribute Name PK/FK Description Type M/O Domain
Party Industry ID PK Unique system internal identifier for this class. Identifier M —
Party ID FK System identifier for the party to which an instance of this class belongs. Identifier M Party ID
Industry Scheme — Specifies the sector classification scheme (or category) to which the party being classified is exposed or belongs. Look-up M Industry Scheme
Industry Scheme Value — Specifies the specific sector classification (element) for a given sector classification scheme to which the party being classified is exposed or belongs. Look-up M Industry Scheme Value
Industry Exposure — — Number O —

SQL Table Generation Code

drop table if exists PARTY INDUSTRY CLASSIFICATION;

create table if not exists PARTY INDUSTRY CLASSIFICATION

(

   PARTY_INDUSTRY_ID              int                            not null,

   PARTY_ID                       int                            not null,

   INDUSTRY_SCHEME                varchar(10)                    not null,

   INDUSTRY_SCHEME_VALUE          varchar(20)                    not null,

   INDUSTRY_EXPOSURE              numeric(10,6)                  not null,

   primary key (PARTY_INDUSTRY_ID),

);

A.3.5 Party Rating

The Party Rating represents the various proprietary and public ratings assigned to parties over time. This includes credit ratings for parties as well as more generic risk and performance ratings.

Table A.22: Attribute definitions of the Party Rating class

Attribute Name PK/FK Description Type M/O Domain
Party Rating ID PK Unique system internal identifier for this class. Identifier M —
Party ID FK System identifier for the party to which an instance of this class belongs. Identifier M Party ID
Rating Scheme —
  • Specifies the scheme name to which the given rating value belongs.
  • The scheme name can be for instance S&P short term, S&P Long-term, Moody’s Short Term, Moody’s Long Term, etc.
 Identifier M Rating Scheme
Rating Scheme Value — Stores the actual rating value given to the party. String M —
Is Valid — Indicates whether an instance of this class is still currently valid or active. This flag has special significance in candidate and compound records. Indicator M —
Valid From Date — Date from which the rating is valid. Date M —
Valid To Date — Date on which this rating is no longer valid. Date O —

SQL Table Generation Code

drop table if exists PARTY RATING;

create table if not exists PARTY RATING

(

   PARTY_RATING_ID                int                            not null,

   PARTY_ID                       int                            not null,

   RATING_SCHEME                  varchar(10)                    not null,

   RATING_SCHEME_VALUE            varchar(20)                    not null,

   IS_VALID                       tinyint(1)                     not null,

   VALID_FROM_DATE                datetime                       not null,

   VALID_TO_DATE                  datetime,

   primary key (PARTY_RATING_ID),

);

A.4 The Role Model

A.4.1 Role Instrument Issuer

The Role Instrument Issuer is used to represent the role of a party as issuer for an instrument. An issuer is a party who creates an instrument and at least in the first instance is responsible and liable for any agreed payoff from an instrument throughout its life.

Table A.23: Attribute definitions of the Role Instrument Issuer class

Attribute Name PK/FK Description Type M/O Domain
Issuer Role ID PK Unique system internal identifier for any instance of the Issuer class. Identifier M —
Instrument ID FK Specifies the financial instrument for which the role is carried out. Identifier M Instrument ID
Party ID FK Specifies the party who performs the specified role. Identifier M Party ID

SQL Table Generation Code

drop table if exists ROLE INSTRUMENT ISSUER;

create table if not exists ROLE INSTRUMENT ISSUER

(

   ISSUER_ROLE_ID                 int                            not null,

   INSTRUMENT_ID                  int                            not null,

   PARTY_ID                       int                            not null,

   primary key (INSTRUMENT_ID),

   unique (),

   unique (),

   ,

);

A.5 The Market Model

The Market Model consists of two attribute classes, Instrument Price and Instrument Listing, directly linked to the Instrument Core class of the Instrument model. It allows the representation of any market or estimated prices with a comprehensive set of descriptive attributes to distinguish different types of prices.

A.5.1 Instrument Price

The Instrument Price stores the prices for financial instruments. This includes instrument prices in the narrow conventional sense, as unit asset prices for instance used with equities, or percentage asset prices as used commonly for debt instruments, and for prices in a wider sense such as index values, prices expressed as yields, and others.

Table A.24: Attribute definitions of the Instrument Price class

Attribute Name PK/FK Description Type M/O Domain
Price ID PK Unique system internal identifier for the price record. Identifier M (Automatic)
Instrument ID FK Specifies the financial instrument for which this price applies. Identifier M Instrument ID
Price Date — Specifies the date for which this price information is provided or to which it relates. Date M —
Price Type — Specifies the price type; e.g., Daily Open, Daily Close, Daily Highest, Daily Lowest (or Intra-day) BID, ASK, PAID CALC, NAV. Identifier M Price Type
Price Value — Specifies the price for this financial instrument after any adjustments. Amount M —
Price Quotation Basis — Specifies the type of price quotation (e.g., percentage of nominal value). Identifier M Quotation Basis
Price Currency — Specifies the currency used for this price. Identifier M Currency (ISO 4217)
Price Lot Size — Specifies whether there is a preset and required trading size for the market where the instrument is traded. For example sometimes securities are traded only per 1000 units; e.g., in lots of 1000. Amount O —
Price Income Inclusion — Indicates whether the price is including/excluding entitlement to dividend, interest, or rights. Indicates whether the price value contains the entitlement (“Dirty”), or not (“Clean”). Identifier O Price Income Inclusion
Traded Volume —
  • Specifies the volume that the instrument traded in this price.
  • Volume traded on the day and market to which Price Date and Price Source Party ID refer.
 Amount O —

SQL Table Generation Code

drop table if exists INSTRUMENT PRICE;

create table if not exists INSTRUMENT PRICE

(

   PRICE_ID                       int                            not null,

   INSTRUMENT_ID                  int,

   PRICE_DATE                     datetime                       not null,

   PRICE_TYPE                     varchar(10)                    not null,

   PRICE_VALUE                    numeric(10,6)                  not null,

   PRICE_QUOTATION_BASIS          varchar(10)                    not null,

   PRICE_CURRENCY                 varchar(10)                    not null,

   PRICE_LOT_SIZE                 numeric(10,4),

   PRICE_INCOME_INCLUSION         varchar(10),

   TRADED_VOLUME                  numeric(10,4),

   primary key (PRICE_ID),

   unique (),

);

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