{ "compoundCurve": { "DISCOUNT_EUR": { "100y": "ESTR SWAP", "1Y": "EURIBOR", "1d": "ESTR" }, "EONIA_PROJECTION": { "100y": "EONIA SWAP", "1d": "EONIA", "2w": "EONIA CASH" }, "ESTR_PROJECTION": { "100y": "ESTR SWAP", "1d": "ESTR", "1y": "ESTR CASH" } }, "frequency": { "ANNUAL": "YEAR", "AT MATURITY": "AT_MATURITY", "QUARTERLY": "QUARTER", "SEMI ANNUAL": "SEMESTER" }, "indexes": { "CMS (20-2)": "EURIBOR 6M SWAP", "ESTR": "ESTR_PROJECTION", "EURO INTERBANK OFFERED RATE": "EURIBOR 6M SWAP", "EURO INTERBANK OFFERED RATE|3M": "EURIBOR 3M SWAP", "EURO INTERBANK OFFERED RATE|6M": "EURIBOR 6M SWAP", "EURO OVERNIGHT INDEX AVERAGE": "EONIA_PROJECTION", "Palliers TF": "EURIBOR 6M SWAP", "iESTER": "ESTR_PROJECTION", "TEC2": "TEC2" }, "model": { "loan": { "callDate": "DateCall", "counterparty": "Counterparty", "currency": "currency", "dealDate": "Deal Date", "instrumentType": "Instrument Type", "interestMargin": "Interest Rate Margin", "interestRate": "Interest Rate", "maturityDate": "Effective Maturity Date", "nominal": "Original Face Value", "payConvention": "Days Convention", "payIndex": "Basis", "payIndexTenor": "Basis Rate Frequency Time Band", "paymentFrequency": "Payment Frequency", "rateType": "Fixed or Floating", "reference": "Deal Number", "remainingNominal": "Remaining Face Value", "reviewFrequency": "Review Frequency", "settlementDate": "Settlement Date" }, "repo": { "callDate": "DateCall", "counterparty": "Counterparty", "dealDate": "Deal Date", "instrumentType": "Instrument Type", "interestAmount": "Interest Amount", "interestConvention": "Interest Days Convention", "interestRate": "Interest Rate", "leg2FaceValue": "Leg Two Original Face Value", "maturityDate": "Effective Maturity Date", "nature": "Borrowing Investing", "originalFaceValue": "Original Face Value", "panier": "Panier", "rateLeg1": "Interest Rate Leg 1", "reference": "Deal Number", "settlementDate": "Settlement Date" }, "security": { "callDate": "DateCall", "counterparty": "Counterparty Name", "couponMarginRate": "Coupon Margin Rate", "couponRate": "Coupon Rate", "currency": "currency", "dayConvention": "Convention de calcul", "dealDate": "Deal Date", "entity": "Entity", "frequency": "Coupon Frequency", "isin": "Instrument Type", "issuer": "Security Issuer", "issuerCallDate": "DtCallEmet", "marginRate": "Interest Rate Margin", "maturityDate": "Effective Maturity Date", "nature": "Borrow or Invest", "nominal": "Original Face Value", "product": "Borrow or Invest", "rate": "Interest Rate", "rateBasis": "Basis", "rateBasisTenor": "Basis Rate Frequency Time Band", "rateType": "Fixed or Floating", "reference": "Deal Number", "remainingNominal": "Remaining Face Value", "reviewFrequency": "Review Frequency", "settlementDate": "Settlement Date" }, "swap": { "callDate": "DateCall", "counterparty": "Counterparty", "currency": "currency", "dealDate": "Deal Date", "maturityDate": "Effective Maturity Date", "nominal": "Original Face Value", "payBaseRate": "Pay base rate", "payDaysConvention": "Days Convention", "payFrequency": "Pay Frequency", "payMargin": "Pay margin", "payRateBasis": "Pay Rate Basis", "payRateBasisTenor": "Pay Rate Basis Freq Time Band", "payReviewFrequency": "Pay Review Frequency", "recBaseRate": "Rec base rate", "recDaysConvention": "Days Convention", "recFrequency": "Rec Frequency", "recMargin": "Rec margin", "recRateBasis": "Rec Rate Basis", "recRateBasisTenor": "Rec Rate Basis Freq Time Band", "recReviewFrequency": "Rec Review Frequency", "reference": "Deal Number", "settlementDate": "Settlement Date" }, "term_deposit": { "callDate": "DateCall", "counterparty": "Counterparty", "currency": "currency", "dealDate": "Deal Date", "instrumentType": "Instrument Type", "interestMargin": "Interest Rate Margin", "interestRate": "Interest Rate", "maturityDate": "Effective Maturity Date", "nominal": "Original Face Value", "payConvention": "Days Convention", "payIndex": "Basis", "payIndexTenor": "Basis Rate Frequency Time Band", "paymentFrequency": "Payment Frequency", "rateType": "Fixed or Floating", "reference": "Deal Number", "remainingNominal": "Remaining Face Value", "reviewFrequency": "Review Frequency", "settlementDate": "Settlement Date" } }, "products": { "Asset Swap Fix Fix": "swap", "Asset Swap Fix Float": "swap", "Asset Swap Inflation Fix Float": "swap", "CAT Actions": "term_deposit", "CAT PPD Taux Variable": "term_deposit", "CAT Progressif": "term_deposit", "CAT Progressif Capitalise SEM A": "term_deposit", "CAT Sub Taux Variable": "term_deposit", "CAT Taux Fixe": "term_deposit", "CAT Taux Fixe Capitalise": "term_deposit", "CAT Taux Variable": "term_deposit", "Collateral Pret de titres": "repo", "Emprunt Gage Coll Taux Fixe": "loan", "Emprunt PPD Taux Variable": "loan", "Emprunt Sub Taux Variable": "loan", "Mise en pension de titres": "repo", "NANT-Creance Entreprise": "nantissement", "NANT-Creance Interne": "nantissement", "NANT-Titre": "nantissement", "Pret de titres": "repo", "Prise pension de titres (In fine)": "repo", "Prise pension de titres (Periodic)": "repo", "Swap Fix Float": "swap", "Swap Float Fix": "swap", "Swap Float Float": "swap" }, "rateBase": { "30/360": "ABB_30_360", "30E/360": "ABB_30_360", "ACTUAL DATE": "EXACT_360", "ACTUAL/360": "EXACT_360", "ACTUAL/365": "EXACT_365", "ACTUAL/ACTUAL": "EXACT_EXACT", "FOLLOWING BUSINESS DAY": "EXACT_360", "MODIFIED FOLLOWING BUSINESS DAY": "ABB_30_360", "default": "ABB_30_360" }, "rateType": { "FIXED": "FIXED", "FLOATING": "FLOATING", "Taux Fixe": "FIXED", "Taux Révisabl": "FLOATING" }, "tags": [ "Entity" ], "instrumentAccounts": { "families": { "swap": "943100", "term_deposit": "131200", "loan": "541900", "security": "304120" }, "subFamilies": [ { "name": "Asset swaps", "instruments": [ "Asset Swap Fix Fix", "Asset Swap Fix Float", "Asset Swap Inflation Fix Float" ], "account": "943101" }, { "name": "Prises en pension", "instruments": [ "Prise pension de titres (In fine)", "Prise pension de titres (Periodic)" ], "account": "301110" } ], "instruments": { "CAT Actions": "131223", "Emprunt PPD Taux Variable": "541200", "Emprunt Sub Taux Variable": "541900", "Mise en pension de titres": "301210", "Pret de titres": "304520", "Collateral Pret de titres": "3026**", "TSDD 15/02/34 T2": "541100" } }, "classification": { "classificationLines": [ { "accountingCategory": "101000", "assetType": "ASSET", "counterparty": "Interbancaire", "eve": true, "financialOperation": false, "finrepClassification": "A_INTERBANK", "grossCarryingAmount": true, "modeledAsset": false, "mv": false, "nim": true, "nominal": true, "rateSensitive": true, "sign": 1 }, { "accountingCategory": "101011", "assetType": "ASSET", "counterparty": "Interbancaire", "eve": true, "financialOperation": false, "finrepClassification": "A_INTERBANK", "grossCarryingAmount": true, "modeledAsset": false, "mv": false, "nim": true, "nominal": true, "rateSensitive": true, "sign": 1 }, { "accountingCategory": "121001", "assetType": "ASSET", 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