This ontology represents the ACTUS taxonomy 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.
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Copyright (c) 2024-2025 ACTUS Financial Research Foundation
Copyright (c) 2024-2025 EDM Council, Inc.
Copyright (c) 2024-2025 Object Management Group, Inc.
classifier for the cashflows generated by a group of credit agreements, financial instruments, or related contracts based on their common characteristics from an ACTUS perspective
cashflow family classifier that applies to single (simple) contracts
Basic, or atomic contracts include those individual contracts that have schedules associated with them, i.e., that have traditional maturity dates and future cash flows, or that represent demand deposits, i.e., accounts that have no structured maturity term, whose cash flows or amounts depend on counterparty behavior, as well as other assets such as stocks. Such contracts and related assets are typically bilateral.
cashflow family classifier that applies to combined (complex, derived) contracts, such as derivatives
ACTUS cashflow family - credit enhancement
cashflow family classifier that applies to agreements that are related to other agreements or accounts, and provide credit support to existing contracts
classifier for the cashflows generated by a group of credit agreements, financial instruments, or related contracts, within an ACTUS cashflow family, based on their more specific, common characteristics
cashflow category that applies to combined contracts processed as members of the asymmetric class
ACTUS cashflow category - credit enhancement
cashflow category that applies to basic contracts processed as members of the credit enhancement class
cashflow category that applies to basic contracts processed as members of the fixed-income class
cashflow category that applies to basic contracts processed as members of the ownership class
ACTUS cashflow category - securitization
cashflow category that applies to combined contracts processed as members of the securitization class
cashflow category that applies to combined contracts processed as members of the symmetric class
classifier for an algorithmic capability, i.e., the rules, from which the cashflows for a credit agreement, financial instrument or related contract, based on their characteristics, can be analyzed
Cashflows in ACTUS are classified as basic, combined / derivatives, or credit enhancement, and then each of these areas breaks down into a number of subclassifications.
cashflow classifier that applies to contracts whose principal is paid fully at the initial exchange date and principal plus interest is repaid periodically in constant amounts until maturity
If the contract has a variable rate, the total amount of principal and interest is recalculated to be fully matured at the maturity date.
classic level payment mortgages, leasing contracts, etc.
cashflow classifier that applies to bonds with attached warrants
ACTUS contract type - boundary controlled switch
cashflow classifier that applies to derivative contracts with subcontract legs which can be activated (knocked in) or extinguished (knocked out) when the underlying asset price reaches a specified value
Need to figure out what restrictions are needed on derivative instrument to limit the coverage to the right set of agreements, and then map to those.
The underlying asset may be a stock, index, or exchange-traded fund. Boundary controlled switch contracts with a single boundary are currently defined.
Knock-in and Knock-out barrier options with a single boundary. Bonus contracts with payout when underlying asset price remains above or below a specified level for specified period.
cashflow classifier that applies to loans that are rolled over as long as they are not called
Need to figure out whether this only applies to commercial loans and whether additional restrictions are needed to limit coverage to loans whose borrowers and lenders are financial institutions, possibly other things (short term?, interbank only?).
Once called, they must be repaid after the stipulated notice period.
cashflow classifier that applies to interest rate options expressed with a maximum or minimum interest rate
cashflow classifier that applies to cash or cash equivalent positions
Rather than classifying the account, should this classify the value of the funds held in that account or something similar?
Cash, deposits at a central or other institution
cashflow classifier that applies to relationships between collateral, an obligee and a debtor, covering the exposure from the debtor with the collateral
Rather than classifying the collateral agreement, should this classify any debt instrument that is collateralized?
Mortgages include a collateral contract. Any coverage with financial or physical collateral.
cashflow classifier that applies to movements of commodities such as oil, gas or even houses that can serve as underlyings of commodity futures, guarantees or simply asset positions
cashflow classifier that applies to bonds with a call or put option
Should this also only classify contracts that are convertible? Does this mean an additional restriction? Does it really apply to any sort of loan?
If the option is exercised, the underlying bond ceases to exist.
ACTUS contract type - credit default swap
cashflow classifier that applies to contracts for which a payment is triggered if one or more of the underlying counterparties defaults
Is this really limited to CDS, or should it apply to anything (or maybe any derivative) where one of the parties to an underlying contract that triggers payment defaults?
ACTUS contract type - credit linked note
cashflow classifier that applies to securities with an embedded credit default swap, linking the credit risk of a reference entity to the note's performance
cashflow classifier that applies to contracts whose principal is paid fully at the initial exchange date and principal plus interest payments may include step ups in principal and/or interest until maturity
Highly flexible to match totally irregular principal payments. Principal can also be paid out in steps.
A special version of this kind are teaser rate loans and mortgages with annuity features.
ACTUS contract type - exotic linear amortizer
cashflow classifier that applies to contracts whose principal is typically, but not always, paid fully at the initial exchange date and where the principal is typically repaid in equal amounts until a step change or maturity, with interest payments decreasing accordingly until a step change in the interest amount
Loans with highly flexible schedules to match totally irregular principal payments are possible. In such cases, the principal can also be paid out in steps.
A special version of this kind are teaser rate loans and mortgages.
ACTUS contract type - exotic negative amortizer
cashflow classifier that applies to negative amortizing contracts but allowing step ups in principal and interest
A special version of this kind are teaser rate loans and mortgages with a variable maturity date.
cashflow classifier that applies to exotic options
As of current, most of the exotic options which were popular before 2008 are out of favor and factually irrelevant. Which of the exotic options will be implemented will depend on the real relevance in the future.
Knock-in and Knock-out, Barrier, Ladder, Rainbow options etc.
ACTUS contract type - foreign exchange outright
cashflow classifier that applies to agreements where two parties agree to exchange fixed cash flows in different currencies at a specified future date
Standard interest rate, FX, stock and commodity futures.
cashflow classifier that applies to futures
Keeps track of value changes for any basic contract as underlying (PAM, ANN etc. but also FXOUT, STK, COM). Handles margining calls.
cashflow classifier that applies to credit enhancements that create a relationship between a guarantor, an obligee and a debtor, moving the exposure from the debtor to the guarantor
Personal guarantee. Government guarantee. Underlyings of CDO's.
cashflow classifier that applies to contracts whose principal is paid fully at the initial exchange date and where the principal is repaid in equal amounts until maturity, with interest payments decreasing accordingly
Interest payments decrease over time as the outstanding principal reduces.
Standard amortizing loans with fixed principal repayments.
cashflow classifier that applies to margin contracts that traces the value changes and the different margin categories like inital and variation margin
Margin contracts as applied in central depositories for any underlying or portfolio of underlying instruments.
ACTUS contract type - negative amortizer
cashflow classifier that applies to contracts whose principal is paid fully at the initial exchange date and principal plus interest is repaid periodically in constant amounts until maturity, however, when resetting the rate, the total payment (principal plus interest remains constant) thus the maturity changes
For loans where scheduled payments are insufficient to cover interest due to an increase in the rate, the principal increases with deferred interest payments leading to growing principal balances, and extending the maturity date.
Special class of ARMs (adjustable rate mortgages), certain other loans, with payment caps.
cashflow classifier that calculates straight option pay-off for any basic contract as underlying (PAM, ANN etc.) but also SWAPS, FXOUT, STK and COM
Single, periodic and continuous strike is supported.
European, American and Bermudan options with Interest rate, FX and stock futures as underlying instruments.
cashflow classifier that applies to bonds without any maturity date
Interest is paid into eternity if is not terminated.
ACTUS contract type - plain vanilla swap
cashflow classifier that applies to swaps where the underlyings are always two identical PAM's however with one leg fixed and the other variable
More than 90% of all interest rate swaps follow this simple pattern.
ACTUS contract type - principal at maturity
cashflow classifier that applies to contracts whose principal is paid fully at the initial exchange date and repaid at maturity
all kinds of bonds, term deposits, bullet loans, and so forth
ACTUS contract type - repurchase agreement
cashflow classifier that applies to contracts that control and manage the sale and repurchase of assets on the books
Classical repo and reverse repo agreements.
ACTUS contract type - securitization credit risk
cashflow classifier that applies to securitization contracts ranked according to credit default
ACTUS contract type - securitization market risk
cashflow classifier that applies to securitization contracts where all underlying contracts are treated equally
The buyer of a tranche gets a part of the cash-flows.
ABS's, MBS's of all sorts. Could be a simple tranche or more complex tranch like interest only and principal only.
cashflow classifier that applies to equity instruments representing ownership in a company, that is bought at a certain amount (normally market price), that then follows an index
cashflow classifier that applies to derivative contracts where two parties exchange contracts
Normally one leg is fixed, the other variable. However all variants possible including different currencies for cross currency swaps, basic swaps or even different principal exchange programs.
All kind of swaps. The variety is defined by the underlying CT's which often are PAM and ANN in all its flavors. With each new basic CT the variety rises.
cashflow classifier that applies to swaps in which one party makes payments based on a set rate, either fixed or variable, while the other party makes payments based on the return of an underlying asset, which includes both the income it generates and any capital gains
ACTUS contract type - undefined maturity profile
cashflow classifier that applies to contracts whose principal may be paid in and out at any point in time without prefixed schedule
Interest calculated on outstanding and capitalized periodically. Needs link to a behavioral function describing expected flows.
Saving products of all kind, current accounts. In some countries even variable rate mortgages can be represented with this contract type.
Algorithmic Contract Types classification scheme
classification scheme behind the ACTUS modeling paradigm, in which standardized Contract Types (CTs) are the granular building blocks of the financial world
describes the contracts that the classifier applies to