ACTUS Contract Terms
type: Ontology
abstract: This ontology represents the ACTUS contract terms that comprise the ACTUS data dictionary as a controlled vocabulary and maps it to FIBO, providing the corresponding semantics and enabling integration of knowledge graphs based on FIBO with the ACTUS system.
license: Copyright (c) 2026 ACTUS Financial Research Foundation Copyright (c) 2026 EDM Association dba EDM Council, Inc. Copyright (c) 2026 Object Management Group Permission is hereby granted, free of charge, to any person obtaining a copy of this software and associated documentation files (the 'Software'), to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, subject to the following conditions: The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software. THE SOFTWARE IS PROVIDED 'AS IS', WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE. See https://opensource.org/licenses/MIT.
source: https://www.actusfrf.org
imports: ACTUSTaxonomy
imports: AnnotationVocabulary
imports: Classifiers
imports: CodesAndCodeSets
imports: Collections
imports: Designators
imports: Identifiers
imports: PartiesAndSituations
imports: QuantitiesAndUnits
imports: RolesAndCompositions
imports: TextDatatype
version IRI: ACTUSContractTerms
has maturity level: Provisional
copyright: Copyright (c) 2026 ACTUS Financial Research Foundation
copyright: Copyright (c) 2026 EDM Association dba EDM Council, Inc.
copyright: Copyright (c) 2026 Object Management Group

ACTUS business day convention
type: Class
subclass of: CodeElement
subclass of: Restriction
  on property: isDefinedIn
  has value: Algorithmic Contract Types data dictionary
definition: code element for one of a set of conventions that ACTUS supports

ACTUS business day convention - CSF
type: NamedIndividual
type: ACTUS business day convention
has description: convention that a scheduled date will be calculated from a formula, coupon schedule, or tenor first, then if it falls on a non-business date will be adjusted to the first following day that is a business day
has tag: CSF
has textual name: Calculate/Shift following

ACTUS business day convention - CSMF
type: NamedIndividual
type: ACTUS business day convention
has description: convention that a scheduled date will be calculated from a formula, coupon schedule, or tenor first, then if it falls on a non-business date will be shifted to the first following day that is a business day unless that day falls in the next calendar month, in which case that date will be the first preceding day that is a calendar date
has tag: CSMF
has textual name: Calculate/Shift modified following

ACTUS business day convention - CSMP
type: NamedIndividual
type: ACTUS business day convention
has description: convention that a scheduled date will be calculated from a formula, coupon schedule, or tenor first, then if it falls on a non-business date will be shifted to the first preceding day that is a business day unless that day falls in the prior calendar month, in which case that date will be the first subsequent day that is a calendar date
has tag: CSMP
has textual name: Calculate/Shift modified preceding

ACTUS business day convention - CSP
type: NamedIndividual
type: ACTUS business day convention
has description: convention that a scheduled date will be calculated from a formula, coupon schedule, or tenor first, then if it falls on a non-business date will be adjusted to the first preceding day that is a business day
has tag: CSP
has textual name: Calculate/Shift preceding

ACTUS business day convention - NOS
type: NamedIndividual
type: ACTUS business day convention
has description: convention for no shift, indicating that there is no date change with respect to the business day
has tag: NOS
has textual name: No Shift

ACTUS business day convention - SCF
type: NamedIndividual
type: ACTUS business day convention
has description: convention that a non-business date will be shifted to the first following day that is a business day, follwed by calculating the scheduled date from a formula, coupon schedule, or tenor
has tag: SCF
has textual name: Shift/Calculate following

ACTUS business day convention - SCMF
type: NamedIndividual
type: ACTUS business day convention
has description: convention that a non-business date will be shifted to the first following day that is a business day unless that day falls in the next calendar month, in which case that date will be the first preceding day that is a calendar date, followed by calculating the scheduled date from a formula, coupon schedule, or tenor
has tag: SCMF
has textual name: Shift/Calculate modified following

ACTUS business day convention - SCMP
type: NamedIndividual
type: ACTUS business day convention
has description: convention that a non-business date will be shifted to the first preceding day that is a business day unless that day falls in the prior calendar month, in which case that date will be the first subsequent day that is a calendar date, followed by calculating the scheduled date from a formula, coupon schedule, or tenor
has tag: SCMP
has textual name: Shift/Calculate modified preceding

ACTUS business day convention - SCP
type: NamedIndividual
type: ACTUS business day convention
has description: convention that a non-business date will be shifted to the first preceding day that is a business day, follwed by calculating the scheduled date from a formula, coupon schedule, or tenor
has tag: SCP
has textual name: Shift/Calculate preceding

ACTUS calendar code - Monday to Friday
type: NamedIndividual
type: ACTUS calendar code
has description: calendar code indicating that only week days are considered
has tag: MondayToFriday
has textual name: Monday to Friday calendar

ACTUS calendar code - no calendar
type: NamedIndividual
type: ACTUS calendar code
has description: calendar code indicating that there is no specific calendar, other than the default for the venue/location
has tag: NoCalendar
has textual name: No calendar

ACTUS calendar code
type: Class
subclass of: CodeElement
subclass of: Restriction
  on property: isDefinedIn
  has value: Algorithmic Contract Types data dictionary
definition: code for a calendar that applies to a particular contract

ACTUS contract role classifier
type: Class
subclass of: ACTUS contract term
subclass of: Classifier
subclass of: Restriction
  on property: isClassifiedBy
  has value: ACTUS dictionary term group - contract identification
subclass of: Restriction
  on property: classifies
  some values from: Role
subclass of: Restriction
  on property: denotes
  some values from: Role
description: CNTRL defines which position the CRID (the identifier for the creator of the data about the contract, i.e., the record for the contract, which currently must be a contract party, not a third party, such as a regulator, but not necessarily the originator) takes in a contract. For example, whether the contract is an asset or liability, a long or short position for the CRID. Note that this may change as ACTUS evolves beyond the current known implementations and libraries for processing the contract. Most contracts are simple on or off balance sheet positions which are assets, liabilities. Such contracts can also play a secondary role as a collateral. The attribute is highly significant since it determines the direction of all cash flows. The exact meaning is given with each CT in the ACTUS High Level Specification document.
definition: classifier for various roles that are relevant to how the contract is processed by a particular contract party
abbreviation: CNTRL
synonym: Contract Role
synonym: contractRole

ACTUS contract term - BUY
type: NamedIndividual
type: ACTUS contract role classifier
has option sequence number: 6
has parameter name: buyer
has description: Contract creator holds the right to buy the underlying / exercise the option.
has tag: BUY
has textual name: Buyer

ACTUS contract term - CNO
type: NamedIndividual
type: ACTUS contract role classifier
has option sequence number: 9
has parameter name: closeOutNetting
has description: Contract creator and counterparty agree on netting payment obligations of underlying instruments in case of default.
has tag: CNO
has textual name: Close Out Netting

ACTUS contract term - COL
type: NamedIndividual
type: ACTUS contract role classifier
has option sequence number: 8
has parameter name: collateralPosition
has description: Contract represents a collateral to an underlying instrument.
has tag: COL
has textual name: Collateral Position

ACTUS contract term - GUA
type: NamedIndividual
type: ACTUS contract role classifier
has parameter name: guarantor
explanatory note: This is missing from the JSON representation of the data dictionary.
has description: Contract creator plays the role of guarantor with respect to the contract.
has tag: GUA
has textual name: Guarantor

ACTUS contract term - LG
type: NamedIndividual
type: ACTUS contract role classifier
has parameter name: longPosition
explanatory note: Not currently represented in the JSON version of the dictionary terms.
has description: indicates that the contract creator holds a long position in the contract
has tag: LG
has textual name: Long Position

ACTUS contract term - OBL
type: NamedIndividual
type: ACTUS contract role classifier
has parameter name: obligor
explanatory note: This is missing from the JSON representation of the data dictionary.
has description: Contract creator plays the role of obligor with respect to the contract.
has tag: OBL
has textual name: Obligor

ACTUS contract term - PF
type: NamedIndividual
type: ACTUS contract role classifier
has option sequence number: 5
has parameter name: payFix
explanatory note: This is missing from the online data dictionary, merged with PFL and thus ambiguous.
has description: Contract creator pays the fixed leg.
has tag: PF
has textual name: Pay Fix

ACTUS contract term - PFL
type: NamedIndividual
type: ACTUS contract role classifier
has option sequence number: 3
has parameter name: payFirstLeg
explanatory note: This is split into two terms in the JSON version, which we followed herein. It is ambiguous in the online data dictionary.
has description: Contract creator pays the first leg.
has tag: PFL
has textual name: Pay First Leg

ACTUS contract term - RF
type: NamedIndividual
type: ACTUS contract role classifier
has option sequence number: 4
has parameter name: receiveFix
explanatory note: This is missing from the online data dictionary, merged with RFL and thus ambiguous.
has description: Contract creator receives the fixed leg.
has tag: RF
has textual name: Receive Fix

ACTUS contract term - RFL
type: NamedIndividual
type: ACTUS contract role classifier
has option sequence number: 2
has parameter name: receiveFirstLeg1
explanatory note: This is split into two terms in the JSON version, which we followed herein. It is ambiguous in the online data dictionary.
has description: Contract creator receives the first leg.
has tag: RFL
has textual name: Receive First Leg

ACTUS contract term - RPA
type: NamedIndividual
type: ACTUS contract role classifier
has option sequence number: 0
has parameter name: realPositionAsset
has description: Contract creator takes the asset or lender side.
has tag: RPA
has textual name: Real Position Asset

ACTUS contract term - RPL
type: NamedIndividual
type: ACTUS contract role classifier
has option sequence number: 1
has parameter name: realPositionLiability
has description: Contract creator takes the liability or borrower side.
has tag: RPL
has textual name: Real Position Liability

ACTUS contract term - SEL
type: NamedIndividual
type: ACTUS contract role classifier
has option sequence number: 7
has parameter name: seller
has description: Contract creator holds the obligation to sell the underlying / deliver the option.
has tag: SEL
has textual name: Seller

ACTUS contract term - ST
type: NamedIndividual
type: ACTUS contract role classifier
has parameter name: short position
explanatory note: Not currently represented in the JSON version of the dictionary terms.
has description: indicates that the contract creator holds a short position in the contract
has tag: ST
has textual name: Short Position

ACTUS contract term - UDL
type: NamedIndividual
type: ACTUS contract role classifier
has option sequence number: 10
has parameter name: underlying
explanatory note: This is missing from the online data dictionary.
has description: Contract represents the underlying to a composed contract. Role of the underlying is derived from the parent.
has tag: UDL
has textual name: Underlying

ACTUS contract term - UDLM
type: NamedIndividual
type: ACTUS contract role classifier
has option sequence number: 12
has parameter name: underlyingMinus
explanatory note: This is missing from the online data dictionary.
has description: Contract represents the underlying to a composed contract. Role of the underlying is derived from the parent. When considered a standalone contract the underlying's creator takes the liability side.
has tag: UDLM
has textual name: Underlying Minus

ACTUS contract term - UDLP
type: NamedIndividual
type: ACTUS contract role classifier
has option sequence number: 11
has parameter name: underlyingPlus
explanatory note: This is missing from the online data dictionary.
has description: Contract represents the underlying to a composed contract. Role of the underlying is derived from the parent. When considered a standalone contract the underlying's creator takes the asset side.
has tag: UDLP
has textual name: Underlying Plus

ACTUS contract term
type: Class
subclass of: CodeElement
subclass of: Restriction
  on property: isMemberOf
  has value: Algorithmic Contract Types data dictionary
subclass of: Restriction
  on property: isDefinedIn
  has value: Algorithmic Contract Types data dictionary
subclass of: Restriction
  on property: has parameter name
  on data range: string
  qualified cardinality: 1
subclass of: Restriction
  on property: characterizes
  some values from: ACTUSContractType
subclass of: Restriction
  on property: isClassifiedBy
  some values from: ACTUS dictionary term group
subclass of: Restriction
  on property: hasTag
  some values from: string
subclass of: Restriction
  on property: hasTextualName
  some values from: string
definition: code denoting a term describing an aspect of one or more ACTUS contract type(s)

ACTUS contract term - AMD
type: NamedIndividual
type: ACTUS contract term
has parameter name: amortizationDate
is classified by: ACTUS dictionary term group - notional principal
has description: This Date is used to calculate the annuity amounts for ANN and ANX NGX CT's. Needs only to be set in case where the contract balloon at MD and MD is less than AD.
has tag: AMD
has textual name: Amortization Date

ACTUS contract term - ARFIXVAR
type: NamedIndividual
type: ACTUS contract term
has parameter name: arrayFixedVariable
is classified by: ACTUS dictionary term group - rate reset
has description: For array-type rate reset schedules, this attributes defines the meaning of ARRATE.
has tag: ARRRCL
has textual name: Array Fixed Variable

ACTUS contract term - ARINCDEC
type: NamedIndividual
type: ACTUS contract term
has parameter name: arrayIncreaseDecrease
is classified by: ACTUS dictionary term group - notional principal
has description: Indicates whether a certain PRNXT element in ARPRNX increases the principal (NT) or decreases it. Applies only for ANX, NAX, LAX Maturity CTs. For all other Maturity CTs the first principal payment is always in the opposite direction of all other (following) payments.
has tag: ARRRCL
has textual name: Array Increase Decrease

ACTUS contract term - ARIPANXi
type: NamedIndividual
type: ACTUS contract term
has parameter name: arrayCycleAnchorDateOfInterestPayment
is classified by: ACTUS dictionary term group - interest
has description: Same like IPANX but as array
has tag: ARIPANXi
has textual name: Array Cycle Anchor Date Of Interest Payment

ACTUS contract term - ARIPCLi
type: NamedIndividual
type: ACTUS contract term
has parameter name: arrayCycleOfInterestPayment
is classified by: ACTUS dictionary term group - interest
has description: Same like IPCL but as array
has tag: ARIPCLi
has textual name: Array Cycle Of Interest Payment

ACTUS contract term - ARPRANXj
type: NamedIndividual
type: ACTUS contract term
has parameter name: arrayCycleAnchorDateOfPrincipalRedemption
is classified by: ACTUS dictionary term group - notional principal
has description: Same like PRANX but as array
has tag: ARIPANXj
has textual name: Array Cycle Anchor Date Of Principal Redemption

ACTUS contract term - ARPRCLj
type: NamedIndividual
type: ACTUS contract term
has parameter name: arrayCycleOfPrincipalRedemption
is classified by: ACTUS dictionary term group - notional principal
has description: Same like PRCL but as array
has tag: ARPRCLj
has textual name: Array Cycle Of Principal Redemption

ACTUS contract term - ARPRNXTj
type: NamedIndividual
type: ACTUS contract term
has parameter name: arrayNextPrincipalRedemptionPayment
is classified by: ACTUS dictionary term group - notional principal
has description: Same like PRNXT but as array
has tag: ARPRNXTj
has textual name: Array Next Principal Redemption Payment

ACTUS contract term - ARRATE
type: NamedIndividual
type: ACTUS contract term
has parameter name: arrayRate
is classified by: ACTUS dictionary term group - rate reset
has description: For array-type rate reset schedules, this attribute represents either an interest rate (corresponding to IPNR) or a spread (corresponding to RRSP). Which case applies depends on the attribute ARFIXVAR: if ARFIXVAR=FIX then it represents the new IPNR and if ARFIXVAR=VAR then the applicable RRSP.
has tag: ARRATE
has textual name: Array Rate

ACTUS contract term - ARRRANX
type: NamedIndividual
type: ACTUS contract term
has parameter name: arrayCycleAnchorDateOfRateReset
is classified by: ACTUS dictionary term group - rate reset
has description: Same like RRANX but as array
has tag: ARRRANX
has textual name: Array Cycle Anchor Date Of Rate Reset

ACTUS contract term - ARRRCL
type: NamedIndividual
type: ACTUS contract term
has parameter name: arrayCycleOfRateReset
is classified by: ACTUS dictionary term group - rate reset
has description: Same like RRCL but as array
has tag: ARRRCL
has textual name: Array Cycle Of Rate Reset

ACTUS contract term - BCF
type: NamedIndividual
type: ACTUS contract term
has parameter name: boundaryCrossedFlag
is classified by: ACTUS dictionary term group - boundary
has description: Initializes the value of Boundary Crossed Flag state variable at statusDate
has tag: BCF
has textual name: Boundary Crossed Flag

ACTUS contract term - BDC
type: NamedIndividual
type: ACTUS contract term
has parameter name: businessDayConvention
is classified by: ACTUS dictionary term group - calendar
has description: BDC's are linked to a calendar. Calendars have working and non-working days. A BDC value other than N means that cash flows cannot fall on non-working days, they must be shifted to the next business day (following) or the previous on (preceding). These two simple rules get refined twofold: - Following modified (preceding): Same like following (preceding), however if a cash flow gets shifted into a new month, then it is shifted to preceding (following) business day. - Shift/calculate (SC) and calculate/shift (CS). Accrual, principal, and possibly other calculations are affected by this choice. In the case of SC first the dates are shifted and after the shift cash flows are calculated. In the case of CS it is the other way round. Attention: Does not affect non-cyclical dates such as PRD, MD, TD, IPCED since they can be set to the correct date directly.
has tag: BDC
has textual name: Business Day Convention

ACTUS contract term - BDR
type: NamedIndividual
type: ACTUS contract term
has parameter name: boundaryDirection
is classified by: ACTUS dictionary term group - boundary
has description: Boundary direction specifies the direction of motion in the underlying asset's price which will be considered a valid crossing of the boundary and trigger the boundary effect changing which, if any, of the boundary legs is active.
has tag: BDR
has textual name: Boundary Direction

ACTUS contract term - BEF
type: NamedIndividual
type: ACTUS contract term
has parameter name: boundaryEffect
is classified by: ACTUS dictionary term group - boundary
has description: This term specifies which leg - if any- becomes the active subcontract when the underlying asset's price crosses the specified boundary value in the specified direction triggerring a boundary crossing event.
has tag: BEF
has textual name: Boundary Effect

ACTUS contract term - BLIA
type: NamedIndividual
type: ACTUS contract term
has parameter name: boundaryLegInitiallyActive
is classified by: ACTUS dictionary term group - boundary
has description: Specifies which leg - if any - is the active contract in effect when the boundary controlled switch contract starts.
has tag: BLIA
has textual name: Boundary Leg Initially Active

ACTUS contract term - BMANX
type: NamedIndividual
type: ACTUS contract term
has parameter name: boundaryMonitoringAnchorDate
is classified by: ACTUS dictionary term group - boundary
has description: The first Boundary monitoring event occurs on this date
has tag: BMANX
has textual name: Boundary Monitoring Anchor Date

ACTUS contract term - BMCL
type: NamedIndividual
type: ACTUS contract term
has parameter name: boundaryMonitoringCycle
is classified by: ACTUS dictionary term group - boundary
has description: The frequency with which boundary monitoring events occur. It defines how often the system checks to test whether the market value of the underlying asset has crossed the boundary in the specified direction triggerring a boundary crossing event.
has tag: BMCL
has textual name: Boundary Monitoring Cycle

ACTUS contract term - BMED
type: NamedIndividual
type: ACTUS contract term
has parameter name: boundaryMonitoringEndDate
is classified by: ACTUS dictionary term group - boundary
has description: Boundary monitoring ends on this date
has tag: BMED
has textual name: Boundary Monitoring End Date

ACTUS contract term - BV
type: NamedIndividual
type: ACTUS contract term
has parameter name: boundaryValue
is classified by: ACTUS dictionary term group - boundary
has description: Boundary value in a barrier options contract, when reached, triggers the boundary effect specified e.g. Knock-In or Knock-out
has tag: BV
has textual name: Boundary Value

ACTUS contract term - CDD
type: NamedIndividual
type: ACTUS contract term
has parameter name: contractDealDate
is classified by: ACTUS dictionary term group - notional principal
has description: This date signifies the origination of the contract where an agreement between the customer and the bank has been settled. From this date on, the institution will have a (market) risk position for financial contracts. This is even the case when IED is in future.
has tag: CDD
has textual name: Contract Deal Date

ACTUS contract term - CECV
type: NamedIndividual
type: ACTUS contract term
has parameter name: coverageOfCreditEnhancement
is classified by: ACTUS dictionary term group - counterparty
has description: Defines which percentage of the exposure is covered
has tag: CECV
has textual name: Coverage Of Credit Enhancement

ACTUS contract term - CEGE
type: NamedIndividual
type: ACTUS contract term
has parameter name: guaranteedExposure
is classified by: ACTUS dictionary term group - counterparty
has description: Defines which value of the exposure is covered: - NO: Nominal Value - NI: Nominal plus Interest - MV: Market Value
has tag: CEGE
has textual name: Guaranteed Exposure

ACTUS contract term - CETC
type: NamedIndividual
type: ACTUS contract term
has parameter name: creditEventTypeCovered
is classified by: ACTUS dictionary term group - counterparty
has description: The type of credit events covered e.g. in credit enhancement or credit default swap contracts. Only the defined credit event types may trigger the protection.
has tag: CETC
has textual name: Credit Event Type Covered

ACTUS contract term - CID
type: NamedIndividual
type: ACTUS contract term
has parameter name: contractID
is classified by: ACTUS dictionary term group - contract identification
has description: Unique identifier of a contract. If the system is used on a single firm level, an internal unique ID can be generated. If used on a national or globally level, a globally unique ID is required.
has tag: CID
has textual name: Contract Identifier

ACTUS contract term - CLA
type: NamedIndividual
type: ACTUS contract term
has parameter name: creditLineAmount
is classified by: ACTUS dictionary term group - notional principal
has description: If defined, gives the total amount that can be drawn from a credit line. The remaining amount that can still be drawn is given by CLA-NT. For ANN, NAM, the credit line can only be drawn prior to PRANX-1PRCL. For CRL, the remaining amount that can still be drawn is given by CLA-Sum(NT of attached contracts).
has tag: CLA
has textual name: Credit Line Amount

ACTUS contract term - CLDR
type: NamedIndividual
type: ACTUS contract term
has parameter name: calendar
is classified by: ACTUS dictionary term group - calendar
has description: Calendar defines the non-working days which affect the dates of contract events (CDE's) in combination with EOMC and BDC. Custom calendars can be added as additional enum options.
has tag: CLDR
has textual name: Calendar

ACTUS contract term - CPID
type: NamedIndividual
type: ACTUS contract term
has parameter name: counterpartyID
is classified by: ACTUS dictionary term group - counterparty
has description: CPID identifies the counterparty to the CRID in this contract. CPID is ideally the official LEI which can be a firm, a government body, even a single person etc. However, this can also refer to a annonymous group in which case this information is not to be disclosed. CPID may also refer to a group taking a joint risk or more generally, CPID is the main counterparty, against which the contract has been settled.
has tag: CPID
has textual name: Counterparty Identifier

ACTUS contract term - CRID
type: NamedIndividual
type: ACTUS contract term
has parameter name: creatorID
is classified by: ACTUS dictionary term group - contract identification
has description: This identifies the legal entity creating the contract record. The counterparty of the contract is tracked in CPID. CRID is ideally the official LEI which can be a firm, a government body, even a single person etc. However, this can also refer to a annonymous group in which case this information is not to be disclosed. CRID may also refer to a group taking a joint risk.
has tag: CRID
has textual name: Creator Identifier

ACTUS contract term - CT
type: NamedIndividual
type: ACTUS contract term
has parameter name: contractType
is classified by: ACTUS dictionary term group - contract identification
has description: The ContractType is the most important information. It defines the cash flow generating pattern of a contract. The ContractType information in combination with a given state of the risk factors will produce a deterministic sequence of cash flows which are the basis of any financial analysis.
has tag: CT
has textual name: Contract Type

ACTUS contract term - CT - ANN
type: NamedIndividual
type: ACTUS contract term
has option sequence number: 1
has parameter name: annuity
is member of: ACTUS contract term - CT
denotes: ACTUSContractType-Annuity
has description: Lending agreements with fixed periodic payments consisting of an interest and principal portion. The periodic payments are adjusted for variable rate instruments such that maturity remains fixed.
has tag: ANN
has textual name: Annuity

ACTUS contract term - CT - CAPFL
type: NamedIndividual
type: ACTUS contract term
has option sequence number: 13
has parameter name: capFloor
is member of: ACTUS contract term - CT
denotes: ACTUSContractType-CapFloorOption
has description: An agreement of paying the differential (cap or floor) of a reference rate versus a fixed rate.
has tag: CAPFL
has textual name: Cap and Floor

ACTUS contract term - CT - CEC
type: NamedIndividual
type: ACTUS contract term
has option sequence number: 17
has parameter name: creditEnhancementCollateral
is member of: ACTUS contract term - CT
denotes: ACTUSContractType-Collateral
has description: A collateral securing the scheduled payment obligations of an underlying instrument
has tag: CEC
has textual name: Credit Enhancement Collateral

ACTUS contract term - CT - CEG
type: NamedIndividual
type: ACTUS contract term
has option sequence number: 16
has parameter name: creditEnhancementGuarantee
is member of: ACTUS contract term - CT
denotes: ACTUSContractType-Guarantee
has description: A guarantee / letter of credit by a third party on the scheduled payment obligations of an underlying instrument
has tag: CEG
has textual name: Credit Enhancement Guarantee

ACTUS contract term - CT - CLM
type: NamedIndividual
type: ACTUS contract term
has option sequence number: 5
has parameter name: callMoney
is member of: ACTUS contract term - CT
denotes: ACTUSContractType-CallMoney
has description: Loans that are rolled over as long as they are not called. Once called it has to be paid back after the stipulated notice period.
has tag: CLM
has textual name: Call Money

ACTUS contract term - CT - COM
type: NamedIndividual
type: ACTUS contract term
has option sequence number: 9
has parameter name: commodity
is member of: ACTUS contract term - CT
denotes: ACTUSContractType-Commodity
has description: Represents commodities.
has tag: COM
has textual name: Commodity

ACTUS contract term - CT - CSH
type: NamedIndividual
type: ACTUS contract term
has option sequence number: 7
has parameter name: cash
is member of: ACTUS contract term - CT
denotes: ACTUSContractType-Cash
has description: Represents cash holdings.
has tag: CSH
has textual name: Cash

ACTUS contract term - CT - FUTUR
type: NamedIndividual
type: ACTUS contract term
has option sequence number: 14
has parameter name: future
is member of: ACTUS contract term - CT
denotes: ACTUSContractType-Future
has description: An agreement of exchanging an underlying instrument against a fixed price in the future.
has tag: FUTUR
has textual name: Future

ACTUS contract term - CT - FXOUT
type: NamedIndividual
type: ACTUS contract term
has option sequence number: 12
has parameter name: foreignExchangeOutright
is member of: ACTUS contract term - CT
denotes: ACTUSContractType-ForeignExchangeOutright
has description: An agreement of swapping two cash flows in different currencies at a future point in time.
has tag: FXOUT
has textual name: Foreign Exchange Outright

ACTUS contract term - CT - LAM
type: NamedIndividual
type: ACTUS contract term
has option sequence number: 3
has parameter name: linearAmortizer
is member of: ACTUS contract term - CT
denotes: ACTUSContractType-LinearAmortizer
has description: Lending agreements with fixed principal repayment amounts and variable interest payments.
has tag: LAM
has textual name: Linear Amortizer

ACTUS contract term - CT - LAX
type: NamedIndividual
type: ACTUS contract term
has option sequence number: 4
has parameter name: exoticLinearAmortizer
is member of: ACTUS contract term - CT
denotes: ACTUSContractType-ExoticLinearAmortizer
has description: Lending agreements with exotic repayment schedules.
has tag: LAX
has textual name: Exotic Linear Amortizer

ACTUS contract term - CT - NAM
type: NamedIndividual
type: ACTUS contract term
has option sequence number: 2
has parameter name: negativeAmortizer
is member of: ACTUS contract term - CT
denotes: ACTUSContractType-NegativeAmortizer
has description: Lending agreements with fixed periodic payments consisting of an interest and principal portion. The periodic payments are adjusted for variable rate instruments such that maturity remains fixed.
has tag: NAM
has textual name: Negative Amortizer

ACTUS contract term - CT - OPTNS
type: NamedIndividual
type: ACTUS contract term
has option sequence number: 15
has parameter name: option
is member of: ACTUS contract term - CT
denotes: ACTUSContractType-Option
has description: Different types of options on buying an underlying instrument at a fixed price in the future.
has tag: OPTNS
has textual name: Option

ACTUS contract term - CT - PAM
type: NamedIndividual
type: ACTUS contract term
has option sequence number: 0
has parameter name: principalAtMaturity
is member of: ACTUS contract term - CT
denotes: ACTUSContractType-PrincipalAtMaturity
has description: Lending agreements with full amortization at maturity.
has tag: PAM
has textual name: Principal at Maturity

ACTUS contract term - CT - STK
type: NamedIndividual
type: ACTUS contract term
has option sequence number: 8
has parameter name: stock
is member of: ACTUS contract term - CT
denotes: ACTUSContractType-Stock
has description: Represents stocks/shares/equity.
has tag: STK
has textual name: Stock

ACTUS contract term - CT - SWAPS
type: NamedIndividual
type: ACTUS contract term
has option sequence number: 10
has parameter name: swap
is member of: ACTUS contract term - CT
denotes: ACTUSContractType-Swap
has description: An agreement of swapping two legs such as fixed against variable or currency 1 against currency 2 etc.
has tag: SWAPS
has textual name: Swap

ACTUS contract term - CT - SWPPV
type: NamedIndividual
type: ACTUS contract term
has option sequence number: 11
has parameter name: plainVanillaSwap
is member of: ACTUS contract term - CT
denotes: ACTUSContractType-PlainVanillaSwap
has description: Plain vanilla interest rate swaps.
has tag: SWPPV
has textual name: Plain Vanilla Swap

ACTUS contract term - CT - UMP
type: NamedIndividual
type: ACTUS contract term
has option sequence number: 6
has parameter name: undefinedMaturityProfile
is member of: ACTUS contract term - CT
denotes: ACTUSContractType-UndefinedMaturityProfile
has description: Interest paying cash accounts (current / savings / etc.).
has tag: UMP
has textual name: Undefined Maturity Profile

ACTUS contract term - CTS
type: NamedIndividual
type: ACTUS contract term
has parameter name: contractStructure
is classified by: ACTUS dictionary term group - contract identification
has description: A structure identifying individual or sets of underlying contracts. E.g. for FUTUR, this structure identifies the single underlying contract, for SWAPS, the FirstLeg and SecondLeg are identified, or for CEG, CEC the structure identifies Covered and Covering contracts.
has tag: CTS
has textual name: Contract Structure

ACTUS contract term - CUR
type: NamedIndividual
type: ACTUS contract term
has parameter name: currency
is classified by: ACTUS dictionary term group - notional principal
has description: The currency of the cash flows.
has tag: CUR
has textual name: Currency

ACTUS contract term - CUR2
type: NamedIndividual
type: ACTUS contract term
has parameter name: currency2
is classified by: ACTUS dictionary term group - notional principal
has description: The currency of the cash flows of the second leg (if not defined, main currency applies)
has tag: CUR2
has textual name: Currency 2

ACTUS contract term - CURS
type: NamedIndividual
type: ACTUS contract term
has parameter name: settlementCurrency
is classified by: ACTUS dictionary term group - settlement
has description: The currency in which cash flows are settled. This currency can be different from the currency (CUR) in which cash flows or the contract, respectively, is denominated in which case the respective FX-rate applies at settlement time. If no settlement currency is defined the cash flows are settled in the currency in which they are denominated.
has tag: CURS
has textual name: Settlement Currency

ACTUS contract term - DQP
type: NamedIndividual
type: ACTUS contract term
has parameter name: delinquencyPeriod
is classified by: ACTUS dictionary term group - counterparty
has description: If real payment happens after scheduled payment date plus DLP, then the counterparty is in technical default. This means that the creditor legally has the right to declare default of the debtor.
has tag: DQP
has textual name: Delinquency Period

ACTUS contract term - DQR
type: NamedIndividual
type: ACTUS contract term
has parameter name: delinquencyRate
is classified by: ACTUS dictionary term group - counterparty
has description: Rate at which Delinquency Payments accrue on NT (in addition to the interest rate) during the DelinquencyPeriod
has tag: DQR
has textual name: Delinquency Rate

ACTUS contract term - DS
type: NamedIndividual
type: ACTUS contract term
has parameter name: deliverySettlement
is classified by: ACTUS dictionary term group - settlement
has description: Indicates whether the contract is settled in cash or physical delivery. In case of physical delivery, the underlying contract and associated (future) cash flows are effectively exchanged. In case of cash settlement, the current market value of the underlying contract determines the cash flow exchanged.
has tag: DS
has textual name: Delivery Settlement

ACTUS contract term - DVANX
type: NamedIndividual
type: ACTUS contract term
has parameter name: cycleAnchorDateOfDividend
is classified by: ACTUS dictionary term group - dividend
has description: Date from which the dividend payment date schedule is calculated according to the cycle length. The first dividend payment event takes place on this anchor.
has tag: DVANX
has textual name: Cycle Anchor Date Of Dividend

ACTUS contract term - DVCL
type: NamedIndividual
type: ACTUS contract term
has parameter name: cycleOfDividend
is classified by: ACTUS dictionary term group - dividend
has description: Defines in combination with DVANX the payment points of dividends. The dividend payment schedule will start at DVANX and end at MaximumProjectionPeriod (cf. sheet Modeling Parameters).
has tag: DVCL
has textual name: Cycle Of Dividend

ACTUS contract term - DVEX
type: NamedIndividual
type: ACTUS contract term
has parameter name: exDividendDate
is classified by: ACTUS dictionary term group - dividend
has description: In case contract is traded between DVEX and next DV payment date (i.e. PRD>DVEX & PRD<next DV payment date), then the old holder of the contract (previous to the trade) receives the next DV payment. In other words, the next DV payment is cancelled for the new (after the trade) holder of the contract.
has tag: DVEX
has textual name: Ex Dividend Date

ACTUS contract term - DVNP
type: NamedIndividual
type: ACTUS contract term
has parameter name: nextDividendPaymentAmount
is classified by: ACTUS dictionary term group - dividend
has description: Defines the next dividend payment (amount) whereas the date of dividend payment is defined through the DVANX/DVCL pair. If DVCL is defined, then this amount will be used as dividend payment for each future dividend payment date.
has tag: DVNP
has textual name: Next Dividend Payment Amount

ACTUS contract term - EOMC
type: NamedIndividual
type: ACTUS contract term
has parameter name: endOfMonthConvention
is classified by: ACTUS dictionary term group - calendar
has description: When computing schedules a special problem arises if an anchor date is at the end of a month and a cycle of monthly or quarterly is applied (yearly in the case of leap years only). How do we have to interpret an anchor date April 30 plus 1M cycles? In case where EOM is selected, it will jump to the 31st of May, then June 30, July 31 and so on. If SM is selected, it will jump to the 30st always with of course an exception in February. This logic applies for all months having 30 or less days and an anchor date at the last day. Month with 31 days will at any rate jump to the last of the month if anchor date is on the last day.
has tag: EOMC
has textual name: End Of Month Convention

ACTUS contract term - FEAC
type: NamedIndividual
type: ACTUS contract term
has parameter name: feeAccrued
is classified by: ACTUS dictionary term group - fees
has description: Accrued fees as per SD
has tag: FEAC
has textual name: Fee Accrued

ACTUS contract term - FEANX
type: NamedIndividual
type: ACTUS contract term
has parameter name: cycleAnchorDateOfFee
is classified by: ACTUS dictionary term group - fees
has description: Date from which the fee payment date schedule is calculated according to the cycle length. The first fee payment event takes place on this anchor.
has tag: FEANX
has textual name: Cycle Anchor Date Of Fee

ACTUS contract term - FEB
type: NamedIndividual
type: ACTUS contract term
has parameter name: feeBasis
is classified by: ACTUS dictionary term group - fees
has description: Basis, on which Fee is calculated. For FEB='A', FER is interpreted as an absolute amount to be paid at every FP event and for FEB='N', FER represents a rate at which FP amounts accrue on the basis of the contract's NT.
has tag: FEB
has textual name: Fee Basis

ACTUS contract term - FECL
type: NamedIndividual
type: ACTUS contract term
has parameter name: cycleOfFee
is classified by: ACTUS dictionary term group - fees
has description: Defines in combination with FEANX the payment points of fees
has tag: FECL
has textual name: Cycle Of Fee

ACTUS contract term - FER
type: NamedIndividual
type: ACTUS contract term
has parameter name: feeRate
is classified by: ACTUS dictionary term group - fees
has description: Rate of Fee which is a percentage of the underlying or FER is an absolute amount. For all contracts where FEB does not apply (cf. business rules), FER is interpreted as an absolute amount.
has tag: FER
has textual name: Fee Rate

ACTUS contract term - GRP
type: NamedIndividual
type: ACTUS contract term
has parameter name: gracePeriod
is classified by: ACTUS dictionary term group - counterparty
has description: If real payment happens after scheduled payment date plus GRP, then the payment is in delay.
has tag: GRP
has textual name: Grace Period

ACTUS contract term - IED
type: NamedIndividual
type: ACTUS contract term
has parameter name: initialExchangeDate
is classified by: ACTUS dictionary term group - notional principal
has description: Date of the initial cash flow for Maturity and Non-Maturity CT's. It also coincides with the beginning of interest accrual calculation.
has tag: IED
has textual name: Initial Exchange Date

ACTUS contract term - IPAC
type: NamedIndividual
type: ACTUS contract term
has parameter name: accruedInterest
is classified by: ACTUS dictionary term group - interest
has description: Accrued interest as per SD. In case of NULL, this value will be recalculated using IPANX, IPCL and IPNR information. Can be used to represent irregular next IP payments.
has tag: IPAC
has textual name: Accrued Interest

ACTUS contract term - IPANX
type: NamedIndividual
type: ACTUS contract term
has parameter name: cycleAnchorDateOfInterestPayment
is classified by: ACTUS dictionary term group - interest
has description: Date from which the interest payment date schedule is calculated according to the cycle length. The first interest payment event takes place on this anchor.
has tag: IPANX
has textual name: Cycle Anchor Date Of Interest Payment

ACTUS contract term - IPCB
type: NamedIndividual
type: ACTUS contract term
has parameter name: interestCalculationBase
is classified by: ACTUS dictionary term group - interest
has description: This is important for amortizing instruments. The basis of interest calculation is normally the notional outstanding amount as per SD. This is considered the fair basis and in many countries the only legal basis. If NULL or NTSD is selected, this is the case. Alternative bases (normally in order to favor the lending institution) are found. In the extreme case the original balance (PCDD=NT+PDCDD) never gets adjusted. In this case PCDD must be chosen. An intermediate case exist wherre balances do get adjusted, however with lags. In this case NTL mut be selected and anchor dates and cycles must be set.
has tag: IPCB
has textual name: Interest Calculation Base

ACTUS contract term - IPCBA
type: NamedIndividual
type: ACTUS contract term
has parameter name: interestCalculationBaseAmount
is classified by: ACTUS dictionary term group - interest
has description: This is the amount used for the calculation of interest. Calculation base per SD.
has tag: IPCBA
has textual name: Interest Calculation Base Amount

ACTUS contract term - IPCBANX
type: NamedIndividual
type: ACTUS contract term
has parameter name: cycleAnchorDateOfInterestCalculationBase
is classified by: ACTUS dictionary term group - interest
has description: Date from which the interest calculation base date schedule is calculated according to the cycle length. The first interest calculation base event takes place on this anchor.
has tag: IPCBANX
has textual name: Cycle Anchor Date Of Interest Calculation Base

ACTUS contract term - IPCBCL
type: NamedIndividual
type: ACTUS contract term
has parameter name: cycleOfInterestCalculationBase
is classified by: ACTUS dictionary term group - interest
has description: Concerning the format see PRCL. Defines the subsequent adjustment points to NT of the interest payment calculation base.
has tag: IPCBCL
has textual name: Cycle Of Interest Calculation Base

ACTUS contract term - IPCED
type: NamedIndividual
type: ACTUS contract term
has parameter name: capitalizationEndDate
is classified by: ACTUS dictionary term group - interest
has description: If IPCED is set, then interest is not paid or received but added to the balance (NT) until IPCED. If IPCED does not coincide with an IP cycle, one additional interest payment gets calculated at IPCED and capitalized. Thereafter normal interest payments occur.
has tag: IPCED
has textual name: Capitalization End Date

ACTUS contract term - IPCL
type: NamedIndividual
type: ACTUS contract term
has parameter name: cycleOfInterestPayment
is classified by: ACTUS dictionary term group - interest
has description: Cycle according to which the interest payment date schedule will be calculated. In case IPCL is not set, then there will only be an interest payment event at MD (and possibly at IPANX if set). The interval will be adjusted yet by EOMC and BDC.
has tag: IPCL
has textual name: Cycle Of Interest Payment

ACTUS contract term - IPDC
type: NamedIndividual
type: ACTUS contract term
has parameter name: dayCountConvention
is classified by: ACTUS dictionary term group - interest
has description: Method defining how days are counted between two dates. This finally defines the year fraction in accrual calculations.
has tag: IPDC
has textual name: Day Count Convention

ACTUS contract term - IPNR
type: NamedIndividual
type: ACTUS contract term
has parameter name: nominalInterestRate
is classified by: ACTUS dictionary term group - interest
has description: The nominal interest rate which will be used to calculate accruals and the next interest payment at the next IP date. NT multiplied with IPNR is the base for the interest payment calculation. The relevant time period is a function of IPDC. If the contract is variable (RRANX set) this field is periodically updated per SD. In the case of plan vanilla interest rate swaps (IRSPV) this defines the rate of fixed leg.
has tag: IPNR
has textual name: Nominal Interest Rate

ACTUS contract term - IPNR2
type: NamedIndividual
type: ACTUS contract term
has parameter name: nominalInterestRate2
is classified by: ACTUS dictionary term group - interest
has description: The nominal interest rate which will be used to calculate accruals and the next interest payment at the next IP date on the second leg (the one not mentioned in CNTRL) of a plain vanilla swap. The relevant time period is a function of IPDC. It is periodically updated per SD.
has tag: IPNR2
has textual name: Nominal Interest Rate 2

ACTUS contract term - IPPNT
type: NamedIndividual
type: ACTUS contract term
has parameter name: cyclePointOfInterestPayment
is classified by: ACTUS dictionary term group - interest
has description: Usually, interest is paid at the end of each IPCL which corresponds to a IPPNT value of E which is also the default. If interest payment occurs at the beginning of the cycle, the value is B.
has tag: IPPNT
has textual name: Cycle Point Of Interest Payment

ACTUS contract term - MD
type: NamedIndividual
type: ACTUS contract term
has parameter name: maturityDate
is classified by: ACTUS dictionary term group - notional principal
has description: Marks the contractual end of the lifecycle of a CT. Generally, date of the last cash flows. This includes normally a principal and an interest payment. Some Maturity CTs as perpetuals (PBN) do not have such a date. For variable amortizing contracts of the ANN CT, this date might be less than the scheduled end of the contract (which is deduced from the periodic payment amount PRNXT). In this case it balloons.
has tag: MD
has textual name: Maturity Date

ACTUS contract term - MOC
type: NamedIndividual
type: ACTUS contract term
has parameter name: marketObjectCode
is classified by: ACTUS dictionary term group - contract identification
has description: Is pointing to the market value at SD (MarketObject). Unique codes for market objects must be used.
has tag: MOC
has textual name: Market Object Code

ACTUS contract term - MPFD
type: NamedIndividual
type: ACTUS contract term
has parameter name: maximumPenaltyFreeDisbursement
is classified by: ACTUS dictionary term group - optionality
has description: Defines the notional amount which can be withdrawn before XDN without penalty
has tag: MPFD
has textual name: Maximum Penalty Free Disbursement

ACTUS contract term - MRANX
type: NamedIndividual
type: ACTUS contract term
has parameter name: cycleAnchorDateOfMargining
is classified by: ACTUS dictionary term group - margining
has description: Date from which the margin call date schedule is calculated according to the cycle length. The first margin call event takes place on this anchor.
has tag: MRANX
has textual name: Cycle Anchor Date Of Margining

ACTUS contract term - MRCL
type: NamedIndividual
type: ACTUS contract term
has parameter name: cycleOfMargining
is classified by: ACTUS dictionary term group - margining
has description: Defines together with MRANX the points where margins can be called.
has tag: MRCL
has textual name: Cycle Of Margining

ACTUS contract term - MRCLH
type: NamedIndividual
type: ACTUS contract term
has parameter name: clearingHouse
is classified by: ACTUS dictionary term group - margining
has description: Indicates wheter CRID takes a clearing house function or not. In other word, whether CRID receive margins (MRIM, MRVM).
has tag: MRCLH
has textual name: Clearing House

ACTUS contract term - MRIM
type: NamedIndividual
type: ACTUS contract term
has parameter name: initialMargin
is classified by: ACTUS dictionary term group - margining
has description: Margin to cover losses which may be incurred as a result of market fluctuations. Upon contract closing or maturity, the MRIM is reimbursed.
has tag: MRIM
has textual name: Initial Margin

ACTUS contract term - MRMML
type: NamedIndividual
type: ACTUS contract term
has parameter name: maintenanceMarginLowerBound
is classified by: ACTUS dictionary term group - margining
has description: Defines the lower bound of the Maintenance Margin. If MRVM falls below MRMML, then capital must be added to reach the original MRIM.
has tag: MRMML
has textual name: Maintenance Margin Lower Bound

ACTUS contract term - MRMMU
type: NamedIndividual
type: ACTUS contract term
has parameter name: maintenanceMarginUpperBound
is classified by: ACTUS dictionary term group - margining
has description: Defines the upper bound of the Maintenance Margin. If MRVM falls above MRMMU, then capital is refunded to reach the original MRIM.
has tag: MRMMU
has textual name: Maintenance Margin Upper Bound

ACTUS contract term - MRVM
type: NamedIndividual
type: ACTUS contract term
has parameter name: variationMargin
is classified by: ACTUS dictionary term group - margining
has description: MRVM reflects the accrued but not yet paid margin as per SD. Open traded positions are revalued by the exchange at the end of every trading day using mark-to-market valuation. Often clearing members do not credit or debit their clients daily with MRVM, but rather use a Maintenance Margin. If the balance falls outside MRMML (and MRMMU), then capital must be added (is refunded) to reach the original margin amount MRIM. We can also say that MVO+MRVM is equal to the reference value as per last margin update.
has tag: MRVM
has textual name: Variation Margin

ACTUS contract term - MVO
type: NamedIndividual
type: ACTUS contract term
has parameter name: marketValueObserved
is classified by: ACTUS dictionary term group - notional principal
has description: Value as observed in the market at SD per unit. Incase of fixed income instruments it is a fraction.
has tag: MVO
has textual name: Market Value Observed

ACTUS contract term - NPD
type: NamedIndividual
type: ACTUS contract term
has parameter name: nonPerformingDate
is classified by: ACTUS dictionary term group - counterparty
has description: The date of the (uncovered) payment event responsible for the current value of the Contract Performance attribute.
has tag: NPD
has textual name: Non Performing Date

ACTUS contract term - NT
type: NamedIndividual
type: ACTUS contract term
has parameter name: notionalPrincipal
is classified by: ACTUS dictionary term group - notional principal
has description: Current nominal value of the contract. For debt instrument this is the current remaining notional outstanding. NT is generally the basis on which interest payments are calculated. If IPCBS is set, IPCBS may introduce a different basis for interest payment calculation.
has tag: NT
has textual name: Notional Principal

ACTUS contract term - NT2
type: NamedIndividual
type: ACTUS contract term
has parameter name: notionalPrincipal2
is classified by: ACTUS dictionary term group - notional principal
has description: Notional amount of the second currency to be exchanged in an FXOUT CT.
has tag: NT2
has textual name: Notional Principal 2

ACTUS contract term - OPANX
type: NamedIndividual
type: ACTUS contract term
has parameter name: cycleAnchorDateOfOptionality
is classified by: ACTUS dictionary term group - optionality
has description: Used for Basic Maturities (such as PAM, RGM, ANN, NGM and their Step-up versions) and American and Bermudan style options. - Basic Maturities: Within the group of these Maturities, it indicates the possibility of prepayments. Prepayment features are controlled by Behavior. - American and Bermudan style Options: Begin of exercise period.
has tag: OPANX
has textual name: Cycle Anchor Date Of Optionality

ACTUS contract term - OPCL
type: NamedIndividual
type: ACTUS contract term
has parameter name: cycleOfOptionality
is classified by: ACTUS dictionary term group - optionality
has description: Cycle according to which the option exercise date schedule will be calculated. OPCL can be NULL for American Options or Prepayment Optionality in which case the optionality period starts at OPANX and ends at OPXED (for american options) or MD (in case of prepayment optionality). The interval will be adjusted yet by EOMC and BDC.
has tag: OPCL
has textual name: Cycle Of Optionality

ACTUS contract term - OPS1
type: NamedIndividual
type: ACTUS contract term
has parameter name: optionStrike1
is classified by: ACTUS dictionary term group - optionality
has description: Strike price of the option. Whether it is a call/put is determined by the attribute OPTP, i.e a call or a put (or a combination of call/put). This attribute is used for price related options such as options on bonds, stocks or FX. Interest rate related options (caps/floos) are handled within th RatReset group.
has tag: OPS1
has textual name: Option Strike 1

ACTUS contract term - OPS2
type: NamedIndividual
type: ACTUS contract term
has parameter name: optionStrike2
is classified by: ACTUS dictionary term group - optionality
has description: Put price in case of call/put.
has tag: OPS2
has textual name: Option Strike 2

ACTUS contract term - OPTP
type: NamedIndividual
type: ACTUS contract term
has parameter name: optionType
is classified by: ACTUS dictionary term group - optionality
has description: Defines whether the option is a call or put or a combination of it. This field has to be seen in combination with CNTRL where it is defined whether CRID is the buyer or the seller.
has tag: OPTP
has textual name: Option Type

ACTUS contract term - OPXED
type: NamedIndividual
type: ACTUS contract term
has parameter name: optionExerciseEndDate
is classified by: ACTUS dictionary term group - optionality
has description: Final exercise date for American and Bermudan options, expiry date for European options.
has tag: OPXED
has textual name: Option Exercise End Date

ACTUS contract term - OPXT
type: NamedIndividual
type: ACTUS contract term
has parameter name: optionExerciseType
is classified by: ACTUS dictionary term group - optionality
has description: Defines whether the option is European (exercised at a specific date), American (exercised during a span of time) or Bermudan (exercised at certain points during a span of time).
has tag: OPXT
has textual name: Option Exercise Type

ACTUS contract term - PDIED
type: NamedIndividual
type: ACTUS contract term
has parameter name: premiumDiscountAtIED
is classified by: ACTUS dictionary term group - notional principal
has description: Total original premium or discount that has been set at CDD and will be added to the (notional) cash flow at IED (cash flow at IED = NT+PDIED, w.r.t. an RPA CT). Negative value for discount and positive for premium. Note, similar to interest the PDIED portion is part of P&L.
has tag: PDIED
has textual name: Premium Discount At IED

ACTUS contract term - PFUT
type: NamedIndividual
type: ACTUS contract term
has parameter name: futuresPrice
is classified by: ACTUS dictionary term group - settlement
has description: The price the counterparties agreed upon at which the underlying contract (of a FUTUR) is exchanged/settled at STD. Quoting is different for different types of underlyings: Fixed Income = in percentage, all others in nominal terms.
has tag: PFUT
has textual name: Futures Price

ACTUS contract term - PPEF
type: NamedIndividual
type: ACTUS contract term
has parameter name: prepaymentEffect
is classified by: ACTUS dictionary term group - optionality
has description: This attribute defines whether or not the right of prepayment exists and if yes, how prepayment affects the remaining principal redemption schedule of the contract
has tag: PPEF
has textual name: Prepayment Effect

ACTUS contract term - PPP
type: NamedIndividual
type: ACTUS contract term
has parameter name: prepaymentPeriod
is classified by: ACTUS dictionary term group - counterparty
has description: If real payment happens before scheduled payment date minus PPP, then it is considered a prepayment. Effect of prepayments are further described in PPEF and related fields.
has tag: PPP
has textual name: Prepayment Period

ACTUS contract term - PPRD
type: NamedIndividual
type: ACTUS contract term
has parameter name: priceAtPurchaseDate
is classified by: ACTUS dictionary term group - notional principal
has description: Purchase price exchanged at PRD. PPRD represents a clean price (includes premium/discount but not IPAC).
has tag: PPRD
has textual name: Price At Purchase Date

ACTUS contract term - PRANX
type: NamedIndividual
type: ACTUS contract term
has parameter name: cycleAnchorDateOfPrincipalRedemption
is classified by: ACTUS dictionary term group - notional principal
has description: Date from which the principal payment date schedule is calculated according to the cycle length. The first principal payment event takes place on this anchor.
has tag: PRANX
has textual name: Cycle Anchor Date Of Principal Redemption

ACTUS contract term - PRCL
type: NamedIndividual
type: ACTUS contract term
has parameter name: cycleOfPrincipalRedemption
is classified by: ACTUS dictionary term group - notional principal
has description: Cycle according to which the interest payment date schedule will be calculated. In case PRCL is not set, then there will only be one principal payment event at MD (and possibly at PRANX if set). The interval will be adjusted yet by EOMC and BDC.
has tag: PRCL
has textual name: Cycle Of Principal Redemption

ACTUS contract term - PRD
type: NamedIndividual
type: ACTUS contract term
has parameter name: purchaseDate
is classified by: ACTUS dictionary term group - notional principal
has description: If a contract is bought after initiation (for example a bond on the secondary market) this date has to be set. It refers to the date at which the payment (of PPRD) and transfer of the security happens. In other words, PRD - if set - takes the role otherwise IED has from a cash flow perspective. Note, CPID of the CT is not the counterparty of the transaction.
has tag: PRD
has textual name: Purchase Date

ACTUS contract term - PRF
type: NamedIndividual
type: ACTUS contract term
has parameter name: contractPerformance
is classified by: ACTUS dictionary term group - counterparty
has description: Indicates the current contract performance status. Different states of the contract range from performing to default.
has tag: PRF
has textual name: Contract Performance

ACTUS contract term - PRNXT
type: NamedIndividual
type: ACTUS contract term
has parameter name: nextPrincipalRedemptionPayment
is classified by: ACTUS dictionary term group - notional principal
has description: Amount of principal that will be paid during the redemption cycle at the next payment date. For amortizing contracts like ANN, NAM, ANX, and NAX this is the total periodic payment amount (sum of interest and principal).
has tag: PRNXT
has textual name: Next Principal Redemption Payment

ACTUS contract term - PTD
type: NamedIndividual
type: ACTUS contract term
has parameter name: priceAtTerminationDate
is classified by: ACTUS dictionary term group - notional principal
has description: Sellingprice exchanged at PTD PTDrepresents a clean price (includes premium/discount but not IPAC
has tag: PTD
has textual name: Price At Termination Date

ACTUS contract term - PYRT
type: NamedIndividual
type: ACTUS contract term
has parameter name: penaltyRate
is classified by: ACTUS dictionary term group - optionality
has description: Either the rate or the absolute amount of the prepayment.
has tag: PYRT
has textual name: Penalty Rate

ACTUS contract term - PYTP
type: NamedIndividual
type: ACTUS contract term
has parameter name: penaltyType
is classified by: ACTUS dictionary term group - optionality
has description: Defines whether prepayment is linked to a penalty and of which kind.
has tag: PYTP
has textual name: Penalty Type

ACTUS contract term - QT
type: NamedIndividual
type: ACTUS contract term
has parameter name: quantity
is classified by: ACTUS dictionary term group - notional principal
has description: This attribute relates either to physical contracts (COM) or underlyings of traded contracts. In case of physical contracts it holds the number of underlying units of the specific good (e.g. number of barrels of oil). In case of well defined traded contracts it holds the number of defined underlying instruments. Example: QT of STK CTs underlying a FUTUR indicates the number of those specific STK CTs which underlie the FUTUR.
has tag: QT
has textual name: Quantity

ACTUS contract term - RRANX
type: NamedIndividual
type: ACTUS contract term
has parameter name: cycleAnchorDateOfRateReset
is classified by: ACTUS dictionary term group - rate reset
has description: Date from which the rate reset date schedule is calculated according to the cycle length. The first rate reset event takes place on this anchor.
has tag: RRANX
has textual name: Cycle Anchor Date Of Rate Reset

ACTUS contract term - RRCL
type: NamedIndividual
type: ACTUS contract term
has parameter name: cycleOfRateReset
is classified by: ACTUS dictionary term group - rate reset
has description: Cycle according to which the rate reset date schedule will be calculated. In case RRCL is not set, then there will only be one rate reset event at RRANX given RRANX if set. The interval will be adjusted yet by EOMC and BDC.
has tag: RRCL
has textual name: Cycle Of Rate Reset

ACTUS contract term - RRFIX
type: NamedIndividual
type: ACTUS contract term
has parameter name: fixingPeriod
is classified by: ACTUS dictionary term group - rate reset
has description: Interest rate resets (adjustments) are usually fixed one or two days (usually Business Days) before the new rate applies (defined by the rate reset schedule). This field holds the period between fixing and application of a rate.
has tag: RRFIX
has textual name: Fixing Period

ACTUS contract term - RRLC
type: NamedIndividual
type: ACTUS contract term
has parameter name: lifeCap
is classified by: ACTUS dictionary term group - rate reset
has description: For variable rate basic CTs this represents a cap on the interest rate that applies during the entire lifetime of the contract. For CAPFL CTs this represents the cap strike rate.
has tag: RRLC
has textual name: Life Cap

ACTUS contract term - RRLF
type: NamedIndividual
type: ACTUS contract term
has parameter name: lifeFloor
is classified by: ACTUS dictionary term group - rate reset
has description: For variable rate basic CTs this represents a floor on the interest rate that applies during the entire lifetime of the contract. For CAPFL CTs this represents the floor strike rate.
has tag: RRLF
has textual name: Life Floor

ACTUS contract term - RRMLT
type: NamedIndividual
type: ACTUS contract term
has parameter name: rateMultiplier
is classified by: ACTUS dictionary term group - rate reset
has description: Interest rate multiplier. A typical rate resetting rule is LIBOR plus x basis point where x represents the interest rate spread. However, in some cases like reverse or super floater contracts an additional rate multiplier applies. In this case, the new rate is determined as: IPNR after rate reset = Rate selected from the market object * RRMLT + RRSP.
has tag: RRMLT
has textual name: Rate Multiplier

ACTUS contract term - RRMO
type: NamedIndividual
type: ACTUS contract term
has parameter name: marketObjectCodeOfRateReset
is classified by: ACTUS dictionary term group - rate reset
has description: Is pointing to the interest rate driver (MarketObject) used for rate reset uniquely. Unique codes for market objects must be used.
has tag: RRMO
has textual name: Market Object Code Of Rate Reset

ACTUS contract term - RRNXT
type: NamedIndividual
type: ACTUS contract term
has parameter name: nextResetRate
is classified by: ACTUS dictionary term group - rate reset
has description: Holds the new rate that has been fixed already (cf. attribute FixingDays) but not applied. This new rate will be applied at the next rate reset event (after SD and according to the rate reset schedule). Attention, RRNXT must be set to NULL after it is applied.
has tag: RRNXT
has textual name: Next Reset Rate

ACTUS contract term - RRPC
type: NamedIndividual
type: ACTUS contract term
has parameter name: periodCap
is classified by: ACTUS dictionary term group - rate reset
has description: For variable rate basic CTs this represents the maximum positive rate change per rate reset cycle.
has tag: RRPC
has textual name: Period Cap

ACTUS contract term - RRPF
type: NamedIndividual
type: ACTUS contract term
has parameter name: periodFloor
is classified by: ACTUS dictionary term group - rate reset
has description: For variable rate basic CTs this represents the maximum negative rate change per rate reset cycle.
has tag: RRPF
has textual name: Period Floor

ACTUS contract term - RRPNT
type: NamedIndividual
type: ACTUS contract term
has parameter name: cyclePointOfRateReset
is classified by: ACTUS dictionary term group - rate reset
has description: Normally rates get reset at the beginning of any resetting cycles. There are contracts where the rate is not set at the beginning but at the end of the cycle and then applied to the previous cycle (post-fixing); in other words the rate applies before it is fixed. Hence, the new rate is not known during the entire cycle where it applies. Therefore, the rate will be applied backwards at the end of the cycle. This happens through a correction of interest accrued.
has tag: RRPNT
has textual name: Cycle Point Of Rate Reset

ACTUS contract term - RRSP
type: NamedIndividual
type: ACTUS contract term
has parameter name: rateSpread
is classified by: ACTUS dictionary term group - rate reset
has description: Interest rate spread. A typical rate resetting rule is LIBOR plus x basis point where x represents the interest rate spread. The following equation can be taken if RRMLT is not set: IPNR after rate reset = Rate selected from the market object + RRSP.
has tag: RRSP
has textual name: Rate Spread

ACTUS contract term - SCANX
type: NamedIndividual
type: ACTUS contract term
has parameter name: cycleAnchorDateOfScalingIndex
is classified by: ACTUS dictionary term group - notional principal
has description: Date from which the scaling date schedule is calculated according to the cycle length. The first scaling event takes place on this anchor.
has tag: SCANX
has textual name: Cycle Anchor Date Of Scaling Index

ACTUS contract term - SCCDD
type: NamedIndividual
type: ACTUS contract term
has parameter name: scalingIndexAtContractDealDate
is classified by: ACTUS dictionary term group - notional principal
has description: The value of the Scaling Index as per Contract Deal Date.
has tag: SCCDD
has textual name: Scaling Index At Contract Deal Date

ACTUS contract term - SCCL
type: NamedIndividual
type: ACTUS contract term
has parameter name: cycleOfScalingIndex
is classified by: ACTUS dictionary term group - notional principal
has description: Cycle according to which the scaling date schedule will be calculated. In case SCCL is not set, then there will only be one scaling event at SCANX given SCANX is set. The interval will be adjusted yet by EOMC and BDC.
has tag: SCCL
has textual name: Cycle Of Scaling Index

ACTUS contract term - SCEF
type: NamedIndividual
type: ACTUS contract term
has parameter name: scalingEffect
is classified by: ACTUS dictionary term group - notional principal
has description: Indicates which payments are scaled. I = Interest payments, N = Nominal payments and M = Maximum deferred interest amount. They can be scaled in any combination.
has tag: SCEF
has textual name: Scaling Effect

ACTUS contract term - SCIP
type: NamedIndividual
type: ACTUS contract term
has parameter name: interestScalingMultiplier
is classified by: ACTUS dictionary term group - notional principal
has description: The multiplier being applied to interest cash flows
has tag: SCIP
has textual name: Interest Scaling Multiplier

ACTUS contract term - SCMO
type: NamedIndividual
type: ACTUS contract term
has parameter name: marketObjectCodeOfScalingIndex
is classified by: ACTUS dictionary term group - notional principal
has tag: SCMO
has textual name: Market Object Code Of Scaling Index

ACTUS contract term - SCNT
type: NamedIndividual
type: ACTUS contract term
has parameter name: notionalScalingMultiplier
is classified by: ACTUS dictionary term group - notional principal
has description: The multiplier being applied to principal cash flows
has tag: SCNT
has textual name: Notional Scaling Multiplier

ACTUS contract term - SD
type: NamedIndividual
type: ACTUS contract term
has parameter name: statusDate
is classified by: ACTUS dictionary term group - contract identification
has description: SD holds the date per which all attributes of the record were updated. This is especially important for the highly dynamic attributes like Accruals, Notional, interest rates in variable instruments etc.
has tag: SD
has textual name: Status Date

ACTUS contract term - SEN
type: NamedIndividual
type: ACTUS contract term
has parameter name: seniority
is classified by: ACTUS dictionary term group - counterparty
has description: Refers to the order of repayment in the event of a sale or default of the issuer.
has tag: SEN
has textual name: Seniority

ACTUS contract term - STP
type: NamedIndividual
type: ACTUS contract term
has parameter name: settlementPeriod
is classified by: ACTUS dictionary term group - settlement
has description: Defines the period from fixing of a contingent event/obligation (Exercise Date) to settlement of the obligation.
has tag: STP
has textual name: Settlement Period

ACTUS contract term - TD
type: NamedIndividual
type: ACTUS contract term
has parameter name: terminationDate
is classified by: ACTUS dictionary term group - notional principal
has description: If a contract is sold before MD (for example a bond on the secondary market) this date has to be set. It refers to the date at which the payment (of PTD) and transfer of the security happens. In other words, TD - if set - takes the role otherwise MD has from a cash flow perspective. Note, CPID of the CT is not the counterparty of the transaction.
has tag: TD
has textual name: Termination Date

ACTUS contract term - UT
type: NamedIndividual
type: ACTUS contract term
has parameter name: unit
is classified by: ACTUS dictionary term group - notional principal
has description: The physical unit of the contract. Example: Barrels for an Oil COM CT.
has tag: UT
has textual name: Unit

ACTUS contract term - XA
type: NamedIndividual
type: ACTUS contract term
has parameter name: exerciseAmount
is classified by: ACTUS dictionary term group - settlement
has description: The amount fixed at Exercise Date for a contingent event/obligation such as a forward condition, optionality etc. The Exercise Amount is fixed at Exercise Date but not settled yet.
has tag: XA
has textual name: Exercise Amount

ACTUS contract term - XD
type: NamedIndividual
type: ACTUS contract term
has parameter name: exerciseDate
is classified by: ACTUS dictionary term group - settlement
has description: Date of exercising a contingent event/obligation such as a forward condition, optionality etc. The Exercise date marks the observed timestamp of fixing the contingent event and respective payment obligation not necessarily the timestamp of settling the obligation.
has tag: XD
has textual name: Exercise Date

ACTUS contract term - XDN
type: NamedIndividual
type: ACTUS contract term
has parameter name: xDayNotice
is classified by: ACTUS dictionary term group - notional principal
has description: Used as rolling attribute with the callable CT's UMP and CLM uniquely. CLM's and UMP's will not be settled (MD not set) until the client uses his option to call the contract X_Day_Notice after Current Date. As long as MD or TD is not set, the client postpones his right to call to the future. The cycle is normally defined in number of business days.
has tag: XDN
has textual name: X Day Notice

ACTUS dictionary term group
type: Class
subclass of: Classifier
subclass of: Restriction
  on property: isDefinedIn
  has value: Algorithmic Contract Types data dictionary
subclass of: Restriction
  on property: classifies
  some values from: ACTUS contract term
definition: classifier for a collection of ACTUS dictionary parameters that tend to be applied together

ACTUS dictionary term group - boundary
type: NamedIndividual
type: ACTUS dictionary term group
has description: name for a collection of parameters related to the concept boundary (or boundary condition) in relation to a contract
has textual name: Boundary

ACTUS dictionary term group - calendar
type: NamedIndividual
type: ACTUS dictionary term group
has description: name for a collection of parameters related to the concept of a calendar
has textual name: Calendar

ACTUS dictionary term group - contract identification
type: NamedIndividual
type: ACTUS dictionary term group
has description: name for a collection of parameters related to the concept of identifying a contract
has textual name: Contract Identification

ACTUS dictionary term group - counterparty
type: NamedIndividual
type: ACTUS dictionary term group
has description: name for a collection of parameters related to the concept of a counterparty to a contract
has textual name: Counterparty

ACTUS dictionary term group - dividend
type: NamedIndividual
type: ACTUS dictionary term group
has description: name for a collection of parameters related to the concept of a dividend
has textual name: Dividend

ACTUS dictionary term group - fees
type: NamedIndividual
type: ACTUS dictionary term group
has description: name for a collection of parameters related to the concept of a fee associated with a contract
has textual name: Fees

ACTUS dictionary term group - interest
type: NamedIndividual
type: ACTUS dictionary term group
has description: name for a collection of parameters related to the concept of interest
has textual name: Interest

ACTUS dictionary term group - margining
type: NamedIndividual
type: ACTUS dictionary term group
has description: name for a collection of parameters related to the concept of margining
has textual name: Margining

ACTUS dictionary term group - notional principal
type: NamedIndividual
type: ACTUS dictionary term group
has description: name for a collection of parameters related to the concept of notional principal
has textual name: Notional Principal

ACTUS dictionary term group - optionality
type: NamedIndividual
type: ACTUS dictionary term group
has description: name for a collection of parameters related to the concept of something that is not required for all contracts of a given type, but may be associated with some contracts of that type
has textual name: Optionality

ACTUS dictionary term group - rate reset
type: NamedIndividual
type: ACTUS dictionary term group
has description: name for a collection of parameters related to the concept of rate reset
has textual name: Rate Reset

ACTUS dictionary term group - settlement
type: NamedIndividual
type: ACTUS dictionary term group
has description: name for a collection of parameters related to the concept settlement of a contract
has textual name: Settlement

Algorithmic Contract Types data dictionary
type: NamedIndividual
type: CodeSet
type: Restriction
  on property: defines
  some values from: ACTUS contract term
definition: system of alpha-numeric symbols, or combinations of symbols, that stand for the terms in the ACTUS data dictionary, a controlled vocabulary defining the parameters that may apply to any given contract type
abbreviation: ACTUS data dictionary
adapted from: https://www.actusfrf.org/methodology

has option sequence number
type: DatatypeProperty
sub property of: hasNumericValue
range: nonNegativeInteger
definition: specifies the order of occurance of an optional element in an enumerated list

has parameter mapping
type: DatatypeProperty
sub property of: hasTextValue
definition: maps a quantitative or qualitative parameter defined in the ACTUS data dictionary with something else, such as a property specified in FIBO

has parameter name
type: DatatypeProperty
sub property of: hasTextualName
definition: associates a name with a quantitative or qualitative factor defined in the ACTUS data dictionary used as a condition for classification of one or more contract type