Legal & contractual spine
Before any trade is booked, the legal foundation must exist: the master agreements, credit support, and confirmation framework that govern default, netting, and close-out. Every trade in the model hangs off this spine.
| Field / term | Business meaning | Domain |
|---|---|---|
master_agreement | The overarching legal contract between two parties that governs all trades between them, setting out default, netting, and termination terms. Trades reference a master agreement rather than restating terms each time. Common frameworks are ISDA (financial derivatives), EFET (European physical/financial energy), NAESB (North American gas), ISDA/IETA (emissions), GTMA (UK power), and master power/gas confirmation agreements. | Reference |
agreement_type | Classifies the master agreement (ISDA Master, EFET General Agreement, NAESB Base Contract, GTMA, ISDA/EEI, Grid Trade Master). Drives which schedules, annexes, and default terms apply and how netting and close-out are calculated. | Reference |
isda_master | The ISDA Master Agreement: the standard framework for OTC derivatives, defining events of default, termination events, and close-out netting. The Schedule customizes elections; Confirmations document individual trades under it. | Reference |
efet_agreement | European Federation of Energy Traders general agreement for the delivery and acceptance of electricity or gas, widely used across European wholesale markets, with commodity-specific election sheets. | Reference |
naesb_contract | North American Energy Standards Board Base Contract for the purchase and sale of natural gas, the dominant physical gas master in North America. | Reference |
schedule | The negotiated part of a master agreement that records party-specific elections (governing law, threshold amounts, additional termination events). Two counterparties on the same master can still have very different economics via the Schedule. | Reference |
confirmation | The legal document evidencing the economic terms of an individual trade under a master agreement. The trade record in the ETRM must reconcile to the confirmation; mismatches are confirmation breaks. | Trade Capture |
confirmation_status | Lifecycle state of a trade confirmation (unconfirmed, sent, matched, confirmed, disputed). A core control: unconfirmed trades carry legal and operational risk. | Trade Capture |
csa | Credit Support Annex: the annex to a master agreement that governs collateral, thresholds, minimum transfer amounts, eligible collateral, and margining. The data backbone of counterparty credit mitigation. | Reference |
netting_agreement | The legal basis on which multiple exposures to a counterparty are offset to a single net amount on default or settlement. Netting sets determine how gross exposures collapse to net. | Credit Risk |
netting_set | A group of trades that legally net against one another under an enforceable agreement; the unit at which close-out exposure and collateral are computed. | Credit Risk |
close_out_netting | The right, on a counterparty default, to terminate all trades under a master and settle to a single net amount. Its enforceability drives regulatory capital and credit exposure. | Credit Risk |
governing_law | The jurisdiction whose law governs a master agreement, affecting enforceability of netting and close-out. A key attribute for legal and credit risk. | Reference |
event_of_default | A contractually defined trigger (failure to pay, bankruptcy, cross-default) that lets the non-defaulting party terminate and net. Monitored against counterparty status. | Credit Risk |
termination_event | A non-fault trigger (illegality, tax event, credit-event-upon-merger) permitting early termination of affected trades under a master. | Reference |
give_up_agreement | A tri-party agreement governing give-up trades, where an executing broker gives a trade up to a clearing member on behalf of a client. | Trade Capture |
clearing_agreement | The agreement between a clearing member and client (and CCP rules) governing cleared trades, margin, and default management. | Reference |
emissions_annex | An annex (e.g. under ISDA or EFET) governing the delivery of emission allowances and the consequences of settlement/delivery failure in carbon markets. | Reference |
kyc_record | Know-Your-Customer due-diligence record establishing a counterparty’s identity, ownership, and sanctions status; a prerequisite to trading and to onboarding a legal entity. | Reference |
onboarding_status | State of a counterparty’s legal and credit onboarding (prospect, KYC in progress, documents pending, approved to trade). Gates whether trades can be booked. | Reference |
Enterprise & organizational reference data
The organizational hierarchy every position and P&L number rolls up through, from the trader and book to the desk, business unit, and legal entity that faces the market and the regulator.
| Field / term | Business meaning | Domain |
|---|---|---|
legal_entity | A legal person that can enter contracts and hold positions; the level at which regulatory reporting, credit, and netting are assessed. Trades are booked under a legal entity. | Reference |
lei | Legal Entity Identifier: the global ISO 17442 code identifying a legal entity in regulatory reporting (EMIR, Dodd-Frank, MiFID II). | Reference |
business_unit | An organizational grouping (e.g. Power, Gas, Oil) above desks, used for management reporting and cost allocation. | Reference |
desk | A trading desk: the organizational unit that owns a set of books and strategies and is measured on its P&L and risk. | Reference |
trading_book | A portfolio grouping that trades are booked into; the atomic unit for position aggregation, P&L, and risk. Books roll up into desks, business units, and legal entities. | Trade Capture |
book_hierarchy | The parent-child structure linking books to desks, business units, and legal entities, enabling roll-up and drill-down of position, P&L, and risk. | Trade Capture |
book_type | Classifies a book by purpose (trading, hedging, physical, structured, warehouse, banking vs trading book) which affects accounting treatment and risk policy. | Trade Capture |
strategy | A labeled grouping of trades reflecting a trading intent (e.g. a spread, a storage optimization), used for attribution below the book level. | Trade Capture |
cost_center | A finance dimension trades and costs are allocated to for management accounting. | Reporting |
trader | The individual who executed or owns a trade; used for attribution, mandate checks, and surveillance. | Trade Capture |
portfolio | A collection of positions grouped for reporting or risk, which may cut across books (e.g. a regulatory portfolio or a hedged portfolio). | Valuation |
profit_center | The organizational node at which profit is measured and owned, typically a desk or book. | Reporting |
mandate | The approved scope of what a trader or desk may trade (products, commodities, tenors, limits). Trades outside mandate are exceptions requiring escalation. | Risk |
entity_relationship | Ownership and guarantee links between legal entities (parent, subsidiary, guarantor), relevant to credit aggregation and group exposure. | Credit Risk |
Counterparty & credit master data
The parties the firm faces, and everything needed to assess and limit the risk of their default, from onboarding and ratings to limits and settlement instructions.
| Field / term | Business meaning | Domain |
|---|---|---|
counterparty | The other party to a trade; carries legal, credit, and settlement terms. Central master-data entity referenced by every trade. | Trade Capture |
counterparty_group | A parent grouping of related counterparties for aggregate credit exposure (a default by one often implies group stress). | Credit Risk |
credit_rating | An assessment of a counterparty’s default likelihood, external (agency) or internal, driving credit limits and pricing of credit risk. | Credit Risk |
internal_rating | The firm’s own credit grade for a counterparty, often on a master scale mapped to probabilities of default. | Credit Risk |
probability_of_default | The estimated likelihood a counterparty defaults over a horizon; an input to expected loss and CVA. | Credit Risk |
loss_given_default | The share of exposure expected to be lost if a counterparty defaults, after recovery. | Credit Risk |
credit_limit | The maximum exposure permitted to a counterparty or group; monitored live against current and potential exposure. | Credit Risk |
settlement_instructions | Standing bank and account details (SSIs) for paying and receiving cash and delivering commodity, per counterparty and currency. | Settlements |
sanctions_status | Screening result indicating whether a counterparty is subject to sanctions; a hard gate on trading and payment. | Reference |
trading_permission | Whether a counterparty is approved to trade specified products/commodities under the relevant master; enforced at capture. | Reference |
parent_guarantee | A guarantee by a parent entity supporting a counterparty’s obligations, increasing effective credit quality. | Credit Risk |
exposure_at_default | Expected exposure to a counterparty at the moment of default; combines current exposure and potential future exposure. | Credit Risk |
Instrument & product master data
The catalog of what can be traded: product templates, contract specifications, and the taxonomy that lets every instrument be priced, risked, and reported consistently.
| Field / term | Business meaning | Domain |
|---|---|---|
instrument | A tradable contract (future, forward, swap, option, physical deal, certificate). The what of a trade, distinct from its economic terms. | Trade Capture |
product | A template defining an instrument class and its economic structure (e.g. monthly power baseload future, TTF gas swap, EUA future). | Trade Capture |
product_taxonomy | The classification tree of products by asset class, commodity, delivery type, and optionality; underpins consistent reporting and risk bucketing. | Reference |
asset_class | The top-level product family (commodity, rates, FX, credit) a trade belongs to. | Reference |
contract_specification | The exchange or market-defined terms of a listed contract (lot size, tick, delivery months, settlement type). | Reference |
underlying | The reference commodity, index, or instrument a derivative derives its value from (e.g. an option on a gas future). | Valuation |
option_type | Call or put, and style (European, American, Bermudan, Asian/average), which determines the pricing model and exercise rules. | Valuation |
strike | The exercise price of an option; the level at which the holder may transact the underlying. | Valuation |
exercise_style | How and when an option may be exercised (European at expiry, American any time, Asian on an average), affecting valuation. | Valuation |
settlement_type | Whether a contract settles physically (delivery of the commodity) or financially (cash against an index). | Trade Capture |
delivery_type | Physical vs financial delivery classification, driving whether scheduling/logistics apply. | Scheduling |
tenor | The maturity or delivery horizon of an instrument (prompt, month, quarter, season, calendar year). | Trade Capture |
lot_size | The standardized quantity of one exchange-traded contract; trades in whole lots for listed products. | Trade Capture |
isin | International Securities Identification Number: a standard code identifying a security/instrument, used in reporting. | Reference |
exchange_symbol | The ticker/symbol identifying a listed contract on its venue (e.g. exchange product code plus expiry). | Reference |
index_definition | The published methodology and source for a settlement index (e.g. a gas hub daily index, a power hourly index) a financial contract settles against. | Market Data |
Location, calendar & unit reference data
The where, when, and in-what-units of trading, delivery points and network topology, calendars and settlement periods, and the units and conversions that make quantities aggregate correctly.
| Field / term | Business meaning | Domain |
|---|---|---|
delivery_point | The physical location where a commodity is delivered or a price is set (a gas hub, a power node/zone, a pipeline point, a metals warehouse). | Scheduling |
hub | A recognized trading/pricing location for a commodity (e.g. a gas trading hub, a power hub) at which liquid prices form. | Market Data |
node | A specific network point in a power grid at which a locational marginal price (LMP) is set; finer-grained than a zone or hub. | Market Data |
zone | An aggregation of nodes into a pricing/settlement area in a power market. | Market Data |
pipeline | A gas transportation asset with entry/exit points, capacity, and tariffs, referenced by transport contracts and nominations. | Scheduling |
location_hierarchy | The parent-child structure of geographic and network locations (node within zone within market) enabling aggregation of positions and prices. | Reference |
unit_of_measure | The physical unit a quantity is expressed in (MWh, therm, MMBtu, barrel, tonne, lot). Consistent UOM handling is fundamental to a correct position. | Reference |
uom_conversion | A factor converting between units (e.g. therms to MWh, barrels to tonnes) so quantities in different units aggregate correctly. | Reference |
currency | The monetary unit a price or cashflow is denominated in; positions and P&L are reported in a base currency after FX conversion. | Reference |
trading_calendar | The set of trading days, holidays, and market sessions governing when a market is open and when contracts price and expire. | Reference |
delivery_calendar | The schedule of delivery days/hours for a physical contract (e.g. gas gas-days, power settlement periods), driving quantity and scheduling granularity. | Scheduling |
holiday_calendar | Named sets of non-business days per market/currency used for date rolling, settlement, and fixing. | Reference |
settlement_period | The granularity at which a market settles (e.g. hourly or half-hourly power, gas day), the atomic time bucket of physical volume and price. | Scheduling |
day_count_convention | The rule for counting days between dates when accruing interest or discounting (e.g. ACT/360), affecting cashflow and discount calculations. | Valuation |
business_day_convention | The rule for adjusting a date that falls on a non-business day (following, modified following, preceding). | Reference |
time_zone | The zone a delivery calendar and settlement periods are expressed in; critical for aligning hourly power across markets. | Reference |
Market intelligence & fundamentals
The physical signal layer beneath prices, weather, load, generation, outages, and storage, that drives supply and demand and informs a fundamental view of value.
| Field / term | Business meaning | Domain |
|---|---|---|
fundamental_data | Physical supply-and-demand data that drives prices (generation, load, storage, flows) as opposed to traded prices themselves. | Market Data |
weather_forecast | Predicted temperature, wind, and solar conditions that drive energy demand and renewable supply; a key input to load and price forecasts. | Market Data |
temperature | Ambient temperature and derived measures (heating/cooling degree days) driving gas and power demand. | Market Data |
degree_days | Heating degree days (HDD) and cooling degree days (CDD): deviations of temperature from a base, proxying demand for heating and cooling. | Market Data |
load_forecast | Projected electricity demand by period and region, central to power price formation and scheduling. | Market Data |
generation_forecast | Projected output by generation type (thermal, hydro, wind, solar), driving supply and residual load. | Market Data |
renewable_forecast | Forecast wind and solar generation; its variability creates intraday price volatility and curtailment risk. | Market Data |
outage | A planned or forced unavailability of generation, transmission, pipeline, or production capacity that tightens supply and moves price. | Market Data |
storage_level | The inventory in gas storage, power (battery/hydro), or oil tanks; a fundamental signal of tightness and a driver of seasonal spreads. | Market Data |
supply_demand_balance | A modeled balance of available supply against forecast demand for a period and location; underlies fundamental price views. | Market Data |
congestion_forecast | Predicted transmission or pipeline constraints that create locational price differences (basis) and FTR/CRR value. | Market Data |
fuel_price | Prices of input fuels (gas, coal) that set marginal generation cost and therefore power prices via the merit order. | Market Data |
spark_spread | The gross margin of a gas-fired generator: power price minus the cost of gas to produce it (adjusted by heat rate); a core fundamental signal. | Market Data |
dark_spread | The gross margin of a coal-fired generator: power price minus coal (and carbon) cost. | Market Data |
heat_rate | The efficiency of a power plant, the gas needed per unit of power; converts fuel prices into implied power cost. | Market Data |
Market data & price curves
The priced view of the market: spot, forward curves, volatility surfaces, correlations, and fixings, governed and versioned so every valuation is reproducible.
| Field / term | Business meaning | Domain |
|---|---|---|
market_data | Traded and derived price information (spot, forwards, volatilities, correlations, fixings) used to value trades and measure risk. | Market Data |
spot_price | The price for immediate or near-term delivery; the anchor of the front of a forward curve. | Market Data |
forward_curve | The set of prices for delivery at each future date; the single most important valuation input. Built from liquid market points, then interpolated and shaped to every delivery bucket. | Market Data |
forward_price | The price for delivery at a specific future period, read off a forward curve. | Market Data |
curve_key | A versioned identifier for a specific forward curve as-of a date/time, enabling reproducible valuation (an SCD Type 2 concept). | Market Data |
curve_construction | The process of building a smooth, arbitrage-consistent forward curve from liquid quotes: bootstrapping, interpolation, and shaping to granular delivery buckets. | Market Data |
shaping | Distributing a coarse forward price (e.g. a month) across finer buckets (days, peak/off-peak hours) using historical or fundamental profiles, so hourly positions value correctly. | Market Data |
interpolation | Filling prices between liquid market points on a curve (linear, spline) to obtain a value for every required date. | Market Data |
basis | The price difference between a location or product and a benchmark (e.g. a hub minus the national balancing point); traded and risk-managed in its own right. | Market Data |
locational_marginal_price | LMP: the marginal price of power at a specific node, decomposed into energy, congestion, and loss components. | Market Data |
volatility_surface | Implied volatilities across strike and maturity used to price options; its shape (skew, smile, term structure) drives option value. | Market Data |
implied_volatility | The volatility implied by an option’s traded price under a pricing model; the market’s view of future variability. | Market Data |
historical_volatility | Volatility measured from past price moves, used for risk and as a sanity check on implied vol. | Risk |
correlation_matrix | Pairwise correlations between price factors (commodities, locations, tenors); essential for portfolio VaR and spread option valuation. | Risk |
fixing | A published reference price on a date used to settle a financial contract or reset a floating leg (e.g. a daily index). | Market Data |
settlement_price | The official end-of-day price an exchange publishes to mark and margin positions. | Market Data |
mark_price | The price used to mark a position to market, sourced from a governed curve or settlement price with a defined hierarchy. | Valuation |
price_source | The origin and priority of a price (broker, exchange, index, internal), governed so valuation is consistent and auditable. | Market Data |
snapshot | A time-stamped capture of the full market state (curves, vols, FX) used to freeze inputs for a valuation or risk run. | Market Data |
yield_curve | The term structure of interest rates used to derive discount factors for present-valuing future cashflows. | Valuation |
discount_factor | The factor that brings a future cashflow to present value, derived from the yield curve and day-count. | Valuation |
fx_rate | The exchange rate converting between currencies for pricing and reporting in a base currency. | Valuation |
fx_forward_curve | Forward exchange rates by tenor, used to value and hedge future foreign-currency cashflows. | Valuation |
Trade origination & pre-trade
The pre-trade lifecycle, from indications and RFQs to quotes, orders, and executions, with the pre-trade checks that stop non-compliant trades before they become positions.
| Field / term | Business meaning | Domain |
|---|---|---|
rfq | Request for Quote: a request to one or more counterparties (or a platform) for a price on a specified trade before execution. | Trade Capture |
quote | A price offered in response to an RFQ or streamed by a market maker, which may be firm or indicative. | Trade Capture |
indication_of_interest | A non-binding signal of willingness to trade a product/size, used in origination before a firm quote. | Trade Capture |
pre_trade_check | Automated validation before a trade is committed (mandate, credit line, limits, product permission), preventing non-compliant trades. | Risk |
pricing_request | An internal request to structure and price a bespoke or structured deal before quoting a client. | Valuation |
deal_capture_intent | The captured intent of a deal prior to full booking, allowing pricing and risk pre-check without a live position. | Trade Capture |
order | An instruction to buy or sell at specified conditions (market, limit, stop), routed to an exchange, broker, or venue. | Trade Capture |
order_status | Lifecycle state of an order (new, working, partially filled, filled, cancelled, rejected). | Trade Capture |
execution | The event of an order being matched/filled, producing one or more fills that become trades. | Trade Capture |
fill | A single execution against an order, with its own price and quantity; multiple fills may aggregate into one trade. | Trade Capture |
venue | The place of execution (exchange, broker, OTC, bilateral, RFQ platform), captured for best-execution and reporting. | Trade Capture |
broker | An intermediary arranging a trade between parties; carries brokerage costs and, for give-ups, a clearing relationship. | Trade Capture |
Trade capture & lifecycle
The core of the system: the trade, its legs and economics, and every lifecycle event, amendment, novation, termination, exercise, that changes it, each versioned for audit.
| Field / term | Business meaning | Domain |
|---|---|---|
trade | The atomic economic agreement to buy or sell, the core fact of the system, from which position, valuation, risk, and settlement all derive. | Trade Capture |
trade_id | The unique, immutable identifier of a trade, referenced across every downstream process. | Trade Capture |
trade_header | The trade-level attributes common to all legs (counterparty, book, trader, dates, master agreement, status). | Trade Capture |
trade_leg | A single economic leg of a trade; multi-leg trades (swaps, spreads, structured deals) carry several legs, each with its own terms. | Trade Capture |
trade_version | A numbered revision of a trade produced by an amendment; prior versions are retained for audit and reproducibility. | Trade Capture |
buy_sell | The direction of the trade (or leg) from the desk’s perspective; sets the sign of the resulting position. | Trade Capture |
quantity | The volume transacted, in the instrument’s unit; combined with direction to form position. | Trade Capture |
notional | The monetary size of a trade (quantity times price or a contract-defined notional), used for exposure and reporting thresholds. | Trade Capture |
price | The agreed price per unit for the trade or leg. | Trade Capture |
trade_date | The date the trade was agreed; drives inception P&L and reporting timeliness. | Trade Capture |
effective_date | The date economic terms begin (e.g. accrual start for a swap). | Trade Capture |
maturity_date | The date the trade’s obligations end. | Trade Capture |
delivery_period | The period over which a physical commodity is delivered; expands into settlement-period-level obligations. | Trade Capture |
fixed_leg | A leg paying a fixed price/rate, the certain side of a swap. | Trade Capture |
floating_leg | A leg paying an index-linked price/rate, resetting against fixings over its life. | Trade Capture |
trade_status | The lifecycle state of a trade (new, verified, confirmed, matured, terminated, cancelled), governing which processes act on it. | Trade Capture |
trade_event | A lifecycle action on a trade (new, amend, novate, terminate, exercise, expire, compress), each producing an auditable record. | Trade Capture |
amendment | A change to an existing trade’s economics, producing a new version while retaining history. | Trade Capture |
novation | Transfer of a trade to a new counterparty, replacing the original with the consent of all parties; the stepping-in party assumes the obligations. | Trade Capture |
termination | Early ending of a trade by agreement, producing a close-out cashflow. | Trade Capture |
compression | Replacing many offsetting trades with fewer, economically equivalent ones to reduce gross notional and operational load. | Trade Capture |
give_up | A trade executed by one broker and transferred (given up) to another firm for clearing/booking. | Trade Capture |
allocation | Splitting a block execution across multiple books, funds, or accounts after the fact. | Trade Capture |
exercise | Acting on an option right, converting it into the underlying position or a cash settlement. | Trade Capture |
expiry | The lapse of an option or contract at maturity without exercise. | Trade Capture |
trade_cost | Fees attached to a trade (brokerage, exchange, clearing) that reduce net P&L. | Settlements |
reference_data_link | The set of master-data keys a trade validates against (instrument, book, counterparty, calendar); integrity here prevents downstream breaks. | Trade Capture |
Physical scheduling & logistics
The operational reality of physical commodity: nominations, transport and storage, title transfer, cargoes, and the metered actuals that drive imbalance and settlement.
| Field / term | Business meaning | Domain |
|---|---|---|
nomination | A formal notice to a network operator or counterparty of the volume to be delivered or received at a point for a period; the operational expression of a physical position. | Scheduling |
renomination | A revised nomination within allowed cycles as forecasts or positions change. | Scheduling |
scheduled_quantity | The volume scheduled for delivery in a settlement period, derived from physical trades and transport. | Scheduling |
confirmed_quantity | The volume a network operator or counterparty confirms against a nomination, which may differ from what was requested. | Scheduling |
actual_quantity | The metered volume actually delivered or received; the basis for settlement and imbalance. | Scheduling |
imbalance | The difference between nominated/scheduled and actual quantity, often charged at penalty prices by the operator. | Scheduling |
balancing | The operator process (and market) that resolves system-wide imbalance between supply and demand in real time. | Scheduling |
title_transfer | The contractual point at which ownership of the physical commodity passes between parties, driving risk-of-loss and settlement. | Scheduling |
transport_contract | A capacity agreement to move a commodity on a pipeline or grid (firm or interruptible), with tariffs and points. | Scheduling |
capacity | The right to flow a quantity of commodity through a network point/path in a period, itself a tradable and schedulable asset. | Scheduling |
capacity_release | Making unused transport capacity available to the market (secondary capacity). | Scheduling |
storage_deal | A contract giving injection/withdrawal rights and inventory space, optimized against forward spreads. | Scheduling |
injection | Adding commodity into storage; constrained by daily injection rates. | Scheduling |
withdrawal | Removing commodity from storage; constrained by daily withdrawal rates and inventory. | Scheduling |
inventory | The current stored quantity in a storage asset, tracked against capacity and used to value optionality. | Scheduling |
cargo | A discrete physical shipment (notably LNG or oil), with vessel, laycan, quality, and delivery window attributes. | Scheduling |
laycan | The agreed window during which a vessel must arrive to load/discharge a cargo. | Scheduling |
vessel | The ship transporting a cargo; carries capacity, route, and demurrage terms. | Scheduling |
demurrage | A charge when a vessel is delayed beyond agreed laytime, a logistics cost in physical trading. | Scheduling |
quality_spec | The contractual quality of a physical commodity (calorific value, sulphur, grade); off-spec delivery triggers price adjustment or rejection. | Scheduling |
meter_reading | The metered volume at a delivery point used to determine actual quantity and settle. | Scheduling |
logistics_cost | Costs of moving/storing physical commodity (transport, storage, demurrage) that feed the physical P&L. | Settlements |
Position & exposure
The running consequence of all trades, net and gross positions by book, commodity, location, and tenor, and the hedges and exposures that market and credit risk are measured on.
| Field / term | Business meaning | Domain |
|---|---|---|
position | The net holding in an instrument/commodity at a location and tenor, the running consequence of all trades, valued and risk-managed continuously. | Valuation |
net_position | The signed net quantity by book, commodity, location, and delivery bucket; long positive, short negative. | Valuation |
gross_position | Total long plus total short, showing turnover and offsetting that net position hides. | Valuation |
open_position | The unhedged, price-exposed part of a position that carries market risk. | Risk |
position_bucket | The time granularity a position is aggregated to (hour, day, month, quarter, season, year) for reporting and risk. | Valuation |
tenor_bucket | A maturity band positions are grouped into for curve risk (e.g. prompt, front quarter, cal year). | Risk |
delta_equivalent | A position restated in units of the underlying by its delta, so options and linear trades aggregate into one comparable exposure. | Risk |
physical_position | The position arising from physical delivery obligations, distinct from financial, and subject to scheduling. | Scheduling |
financial_position | The position from cash-settled instruments, valued against indices/curves. | Valuation |
hedge | A trade taken to offset the price risk of another position or forecast exposure. | Valuation |
hedge_relationship | The documented link between a hedging instrument and the hedged item, required for hedge accounting. | Valuation |
hedge_ratio | The proportion of an exposure covered by its hedge. | Valuation |
hedge_effectiveness | How closely a hedge offsets the hedged item’s value changes; tested to qualify for hedge accounting. | Valuation |
exposure | The amount at risk to a market factor or counterparty; the quantity risk and credit are measured on. | Risk |
Valuation & P&L
How positions become value and profit: mark-to-market, present value, option value, and the daily P&L, with attribution that explains every move.
| Field / term | Business meaning | Domain |
|---|---|---|
valuation | The process of computing the current value of a trade or position from market data; the source of MtM and unrealized P&L. | Valuation |
mtm_value | Mark-to-market value: the current market value of a position, revalued as prices move. | Valuation |
fair_value | The price at which a position would transact between willing parties now; the accounting basis for many instruments. | Valuation |
npv | Net present value: the discounted value of a trade’s future cashflows. | Valuation |
intrinsic_value | The value of an option if exercised now (the in-the-money amount); the certain part of option value. | Valuation |
time_value | The part of an option’s value beyond intrinsic, reflecting the chance of further favorable moves. | Valuation |
unrealized_pnl | Change in mark-to-market value not yet settled to cash; reverses as trades settle. | Valuation |
realized_pnl | P&L locked in through settlement or offsetting; permanent and cash-backed. | Valuation |
daily_pnl | The change in total P&L over a day, the headline number a desk is measured on. | Valuation |
inception_pnl | Day-one P&L recognized when a trade is struck away from mid/fair value; governed to avoid premature profit. | Valuation |
pnl_explained | Attribution of the P&L change to its drivers (spot, curve moves, vol, time decay, FX, new trades, fixings), reconciling actual to predicted P&L. | Valuation |
pnl_attribution | The breakdown of P&L by driver, book, strategy, or trade, used to understand and validate results. | Valuation |
greeks_pnl | P&L predicted from sensitivities (delta, gamma, vega, theta) times market moves; compared to actual in P&L explain. | Valuation |
carry | P&L from the passage of time and holding a position (roll-down, cost of carry) absent price moves. | Valuation |
valuation_adjustment | Reserves and adjustments to raw model value (bid-offer, liquidity, model, credit) to reach a prudent fair value. | Valuation |
xva | The family of valuation adjustments for counterparty credit (CVA), own credit (DVA), funding (FVA), capital (KVA), and margin (MVA). | Credit Risk |
reserve | A held-back amount against model, liquidity, or credit uncertainty, reducing recognized profit until resolved. | Valuation |
model_input | A parameter feeding a pricing model (curve, vol, correlation, discount factor); governed for reproducibility. | Valuation |
pricing_model | The algorithm valuing an instrument (Black-76, Monte Carlo, spread-option, storage/least-squares MC), chosen by product. | Valuation |
valuation_date | The as-of date/time a valuation is computed for; combined with a market snapshot to reproduce results exactly. | Valuation |
Market risk & analytics
The measurement of price risk, from sensitivities and Greeks through VaR and Expected Shortfall to stress and scenario analysis, all governed by limits and appetite.
| Field / term | Business meaning | Domain |
|---|---|---|
market_risk | The risk of loss from moves in market prices, volatilities, and correlations; measured by sensitivities, VaR, and stress. | Risk |
delta | Sensitivity of value to a one-unit move in the underlying price; the primary directional risk. | Risk |
gamma | The rate of change of delta as the underlying moves; convexity risk that grows near option strikes and expiry. | Risk |
cross_gamma | The change in delta to one factor when a related factor moves; important for spread and locational risk. | Risk |
vega | Sensitivity of option value to implied volatility. | Risk |
theta | Sensitivity of value to the passage of time (time decay). | Risk |
rho | Sensitivity of value to interest rates. | Risk |
bucketed_delta | Delta split across tenor buckets/curve points, showing where along the curve the risk sits. | Risk |
dv01 | The change in value for a one-basis-point move in rates; interest-rate risk of cashflows. | Risk |
var | Value at Risk: the estimated maximum loss over a horizon at a confidence level; a single headline risk number. | Risk |
parametric_var | VaR computed from sensitivities and a covariance matrix, assuming a distribution; fast but approximate. | Risk |
historical_var | VaR from applying historical market moves to the current book; captures fat tails without a distributional assumption. | Risk |
monte_carlo_var | VaR from simulating many correlated market paths and revaluing the book; flexible for options and non-linearity. | Risk |
expected_shortfall | The average loss beyond the VaR threshold (conditional VaR); a coherent tail-risk measure favored by regulators. | Risk |
stress_test | Revaluation of the book under a severe but plausible shock (historical event or hypothetical) to reveal tail vulnerability. | Risk |
scenario | A defined set of simultaneous market moves applied to revalue the portfolio and read off the P&L impact. | Risk |
scenario_analysis | Systematic evaluation of portfolio outcomes across many what-if scenarios to inform decisions. | Risk |
sensitivity | The change in value for a defined change in a risk factor; the building block of Greeks and risk ladders. | Risk |
risk_factor | A market variable a portfolio is exposed to (a curve point, a vol, an FX rate, a correlation). | Risk |
limit | A cap on a risk metric (position, VaR, tenor, greek, credit) monitored continuously to keep risk within appetite. | Risk |
limit_utilization | How much of a limit is currently consumed; breaches trigger alerts and escalation. | Risk |
risk_appetite | The board-approved amount and type of risk the firm is willing to take, cascaded into limits. | Risk |
liquidity_horizon | The time assumed to exit or hedge a position, lengthening risk for illiquid books. | Risk |
concentration | Over-exposure to a single factor, location, tenor, or counterparty; a risk the aggregate number can mask. | Risk |
Credit & counterparty risk
The risk that a counterparty fails to perform, measured through current and potential future exposure, valued through CVA/xVA, and mitigated by netting and collateral.
| Field / term | Business meaning | Domain |
|---|---|---|
credit_risk | The risk of loss if a counterparty fails to meet its obligations; measured by current and potential future exposure. | Credit Risk |
current_exposure | The present replacement cost of trades with a counterparty if they defaulted today (positive MtM, after netting/collateral). | Credit Risk |
potential_future_exposure | PFE: a high-confidence estimate of how large exposure could become over time as markets move. | Credit Risk |
expected_exposure | The average expected exposure to a counterparty over time, an input to CVA. | Credit Risk |
cva | Credit Valuation Adjustment: the market value of counterparty default risk, reducing the value of uncollateralized trades. | Credit Risk |
dva | Debit Valuation Adjustment: the mirror of CVA reflecting the firm’s own default risk. | Credit Risk |
wrong_way_risk | The adverse case where exposure to a counterparty rises just as its default likelihood rises (correlation of exposure and credit). | Credit Risk |
credit_exposure_limit | The cap on exposure to a counterparty/group, checked pre-trade and monitored live. | Credit Risk |
settlement_risk | The risk that one side of a settlement pays/delivers while the other fails (Herstatt risk). | Credit Risk |
credit_reserve | A held amount against expected counterparty losses. | Credit Risk |
exposure_netting | Offsetting positive and negative exposures within an enforceable netting set to a single net figure. | Credit Risk |
collateral_offset | Reduction of exposure by collateral held under a CSA, after haircuts and thresholds. | Credit Risk |
Collateral & margin
The mechanics of securing exposure, initial and variation margin, thresholds and haircuts, and the CCP and clearing structures that stand behind cleared trades.
| Field / term | Business meaning | Domain |
|---|---|---|
collateral | Assets pledged to secure exposure under a CSA or to a CCP; reduces credit risk when exposure is positive. | Credit Risk |
initial_margin | Collateral posted up front to cover potential future exposure over a close-out period, at a CCP or under bilateral IM rules. | Credit Risk |
variation_margin | Collateral exchanged to cover current mark-to-market moves, typically daily. | Credit Risk |
margin_call | A demand for additional collateral when exposure exceeds posted collateral plus threshold. | Settlements |
threshold | The unsecured exposure a party tolerates before collateral is required, set in the CSA. | Credit Risk |
minimum_transfer_amount | The smallest collateral movement allowed, avoiding tiny operational transfers. | Credit Risk |
haircut | A discount applied to collateral value to allow for its own price/liquidity risk. | Credit Risk |
eligible_collateral | The asset types a CSA/CCP accepts as collateral (cash, government bonds), each with a haircut. | Credit Risk |
ccp | Central Counterparty: a clearing house that interposes itself between buyer and seller, novating trades and managing margin and default. | Credit Risk |
clearing_member | A firm that is a member of a CCP and clears trades for itself and clients, posting margin. | Credit Risk |
default_fund | A mutualized fund at a CCP that absorbs losses beyond a defaulter’s margin. | Credit Risk |
margin_period_of_risk | The assumed time to close out a defaulted portfolio, driving initial margin size. | Credit Risk |
Settlement, invoicing & cash
Turning settled trades into money: cashflows, invoices, payments and netting, and the reconciliation that catches breaks before they become losses.
| Field / term | Business meaning | Domain |
|---|---|---|
cashflow | A dated movement of money arising from a trade, settlement, fee, or margin; the atom of settlement and liquidity. | Settlements |
projected_cashflow | An expected future cashflow before it settles, used for liquidity and funding forecasts. | Settlements |
actual_cashflow | A cashflow realized at settlement, matched to bank confirmations. | Settlements |
settlement | The process of exchanging cash (and confirming delivery) to discharge trade obligations for a period. | Settlements |
settlement_amount | The net amount due for a settlement period after applying prices to delivered/settled quantities. | Settlements |
settlement_status | The state of a settlement (pending, calculated, matched, invoiced, paid, disputed). | Settlements |
invoice | A document billing a counterparty for delivered commodity or settled contracts over a period. | Settlements |
invoice_line | A line of an invoice tying an amount to a trade, delivery, or fee, enabling reconciliation. | Settlements |
self_bill | An invoice the buyer raises on the seller’s behalf under agreement, common in some energy markets. | Settlements |
payment | The actual transfer of funds discharging an invoice or settlement, matched via settlement instructions. | Settlements |
payment_netting | Combining multiple same-day, same-currency, same-counterparty cashflows into one net payment to cut settlement risk and cost. | Settlements |
reconciliation | Matching internal records (trades, cashflows, invoices) to external confirmations (counterparty, exchange, bank) to find breaks. | Settlements |
break | A discrepancy surfaced by reconciliation (trade, confirmation, or cash mismatch) requiring investigation. | Settlements |
dispute | A recorded disagreement over a settlement or invoice amount, tracked to resolution. | Settlements |
accrual | Recognition of income/cost as it is earned/incurred before cash settles, for accounting completeness. | Reporting |
nostro_reconciliation | Matching expected cash movements to the firm’s bank (nostro) account statements. | Settlements |
Accounting & finance
How trading results reach the books: the general ledger and sub-ledgers, revaluation, and the hedge accounting that aligns the timing of hedge and hedged-item P&L.
| Field / term | Business meaning | Domain |
|---|---|---|
general_ledger | The GL: the firm’s system of accounting record; trade and settlement results post here as journal entries. | Reporting |
journal_entry | A double-entry posting recording a financial event (a settled cashflow, a revaluation) to GL accounts. | Reporting |
gl_account | A ledger account (asset, liability, income, expense) trades and cashflows map to via posting rules. | Reporting |
sub_ledger | A detailed ledger (trades, positions) that reconciles to and feeds the GL in summary. | Reporting |
revaluation | Restating positions to fair value at period end, posting the change to P&L or OCI per accounting policy. | Reporting |
hedge_accounting | Accounting treatment that matches the timing of hedge and hedged-item P&L (cash-flow or fair-value hedges), reducing earnings volatility when effective. | Reporting |
effectiveness_test | The test proving a hedge relationship offsets the hedged risk within tolerance, required to keep hedge accounting. | Reporting |
oci | Other Comprehensive Income: where the effective portion of cash-flow hedge gains/losses is parked until the hedged item hits P&L. | Reporting |
mark_to_model | Valuing illiquid positions from a model rather than observed prices, with governance and reserves. | Valuation |
ifrs_classification | The accounting classification of an instrument (e.g. IFRS 9 categories) that drives measurement and P&L treatment. | Reporting |
cost_of_carry | The net cost of holding a position over time (funding, storage, insurance less yield), relevant to physical and financing P&L. | Valuation |
funding_cost | The cost of financing positions and margin, captured via FVA and treasury allocation. | Credit Risk |
Regulatory & compliance
The mandated view of trading, EMIR, Dodd-Frank, REMIT, MiFID reporting, position limits, surveillance, and the audit trail, produced from the same governed data as the book.
| Field / term | Business meaning | Domain |
|---|---|---|
regulatory_reporting | Producing mandated trade and position reports to authorities and repositories, from the same governed data as the book. | Reporting |
emir_reporting | EU EMIR reporting of derivative trades to a trade repository, with UTI, LEI, and lifecycle events. | Reporting |
dodd_frank_reporting | US CFTC swap data reporting under Dodd-Frank to an SDR. | Reporting |
remit_reporting | EU REMIT reporting of wholesale energy market transactions and fundamental data to ACER, to detect market abuse. | Reporting |
mifid_reporting | MiFID II/MiFIR transaction and reference-data reporting for financial instruments. | Reporting |
uti | Unique Trade Identifier: the global code identifying a derivative trade across both parties’ regulatory reports. | Reporting |
upi | Unique Product Identifier: a code classifying the product in regulatory reporting. | Reporting |
position_limit | A regulator- or venue-imposed cap on the position a party may hold in a commodity contract, monitored for compliance. | Risk |
position_reporting | Reporting of commodity positions to regulators/exchanges (e.g. CFTC, MiFID position reports). | Reporting |
best_execution | The obligation to obtain the best result for a client order, evidenced from venue and price data. | Reporting |
trade_surveillance | Monitoring trading activity for market abuse (spoofing, manipulation, insider dealing) using trade, order, and communication data. | Reporting |
audit_trail | A complete, tamper-evident record of every change to a trade, price, or configuration; the backbone of compliance and reproducibility. | Reporting |
reportable_event | A trade lifecycle event (new, amend, terminate) that triggers a regulatory report or update. | Reporting |
Data governance & lineage
What makes the whole model trustworthy: a single governed source of truth, full history and versioning, lineage, and the data-quality controls that keep every number reproducible.
| Field / term | Business meaning | Domain |
|---|---|---|
governed_data_model | A single, authoritative model every function reads from, so trade, risk, settlement, and reporting agree by construction rather than by reconciliation. | BI & OLAP Marts |
source_of_truth | The one governed record for a data element, ending the reconciliation of competing copies. | BI & OLAP Marts |
master_data | Core reference entities (instruments, counterparties, books, calendars, locations) shared across the platform, governed centrally (MDM). | Reference |
reference_data | Slowly changing data trades validate against; errors here cause silent, systemic mispricing. | Reference |
data_lineage | The traceable path from any output (a report, a mart row) back to the source data and the exact versions used to produce it. | BI & OLAP Marts |
scd_type_2 | Slowly Changing Dimension Type 2: keeping full history of a dimension so any past state can be reproduced for as-of queries. | BI & OLAP Marts |
effective_dating | Recording the business-time validity of a record (valid-from/valid-to) so the model can answer what was true on a date. | BI & OLAP Marts |
bitemporal | Tracking both when something was true (business time) and when it was recorded (system time), enabling exact reproduction and correction history. | BI & OLAP Marts |
versioning | Retaining prior versions of trades, curves, and configuration so any historical valuation or report reproduces exactly. | BI & OLAP Marts |
as_of_date | The date a valuation, position, or report is reproduced against, resolving every input to its version on that date. | Valuation |
data_quality_rule | A validation asserting a data expectation (completeness, range, referential integrity); failures are flagged before they corrupt downstream results. | BI & OLAP Marts |
data_steward | The accountable owner of a data domain’s definitions and quality. | BI & OLAP Marts |
golden_record | The single reconciled, de-duplicated master record for an entity (e.g. one counterparty across sources). | Reference |
surrogate_key | A system-generated key uniquely identifying a dimension row/version, stable across source changes. | BI & OLAP Marts |
natural_key | The business identifier of an entity (e.g. a trade id, a LEI) as opposed to a surrogate key. | BI & OLAP Marts |
data_dictionary | The governed catalog of fields and their business meanings (this reference), ensuring everyone uses terms consistently. | BI & OLAP Marts |
BI marts, dimensions & analytics
The analytical layer on top: star-schema marts, conformed dimensions, and a semantic layer that let any BI tool answer questions consistently, with drill-down back to the trade.
| Field / term | Business meaning | Domain |
|---|---|---|
data_mart | A subject-area analytical dataset (trade, position, P&L, risk) modeled for query, built over the governed model. | BI & OLAP Marts |
star_schema | A central fact table joined to conformed dimensions; the standard shape for fast, understandable analytics. | BI & OLAP Marts |
fact_table | A table of measures at a defined grain (e.g. daily P&L per book), joined to dimensions. | BI & OLAP Marts |
dimension_table | A descriptive table (book, counterparty, instrument, date, location) providing the by-what of analysis. | BI & OLAP Marts |
conformed_dimension | A dimension defined once and shared identically across marts, so numbers align across subjects. | BI & OLAP Marts |
grain | The level of detail one fact row represents; the first thing to define when building a mart. | BI & OLAP Marts |
measure | A numeric value analyzed (P&L, MtM, VaR, quantity), aggregated across dimensions. | BI & OLAP Marts |
dimension_key | The surrogate key joining a fact row to a dimension version, preserving as-of accuracy. | BI & OLAP Marts |
trade_mart | A mart of trade-level facts for slicing volumes, notionals, and activity by any dimension. | BI & OLAP Marts |
position_mart | A mart of positions by book, commodity, location, and tenor for exposure analysis. | BI & OLAP Marts |
pnl_mart | A mart of P&L by driver, book, and day, supporting attribution and management reporting. | BI & OLAP Marts |
risk_mart | A mart of risk measures (VaR, greeks, limits) for monitoring and drill-down. | BI & OLAP Marts |
hedge_mart | A mart linking hedges to hedged items for effectiveness and coverage analysis. | BI & OLAP Marts |
greeks_mart | A mart of option sensitivities by factor and bucket for risk analytics. | BI & OLAP Marts |
back_office_mart | A mart of settlement, invoice, and cash facts for operational and finance analytics. | BI & OLAP Marts |
kpi | A key performance indicator (P&L, Sharpe, limit utilization, break rate) tracked to steer the business. | BI & OLAP Marts |
aggregation | Rolling measures up a dimension hierarchy (book to desk to entity) with correct additivity. | BI & OLAP Marts |
drill_down | Navigating from an aggregate to its detail (entity to desk to book to trade) along conformed dimensions. | BI & OLAP Marts |
semantic_layer | A business-friendly mapping over the marts (named measures and dimensions) so any BI tool queries consistent definitions. | BI & OLAP Marts |
report | A governed output (regulatory, management, client) built from marts with full lineage back to source. | Reporting |
dashboard | An interactive view of KPIs and risk/P&L measures for a role (trader, risk, executive), reading from the marts. | BI & OLAP Marts |
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