A product classification code

Classification codes of financial derivatives as prescribed by Appendix #3 of the Direction of the Bank of Russia.

Description

A classification code of financial derivatives and repo is a sequence of attributes of the relevant code.

The first attribute of the classification code of financial derivatives is assigned based on the type of a financial derivative

O - Option contract (hereinafter referred to an option)

S - Swap agreement (hereinafter referred to as a swap)

F - Forward contract (hereinafter referred as a forward)

R Repo (hereinafter referred as a repo)

Attributes of the option classification code

A second attribute of the option classification code describers the right of the buyer to acquire the underlying asset, demand payment for the underlying asset, enter a relevant contract or demand payment of a cash amount:

P - An option granting the right to the buyer to sell the underlying asset or obtain the benefit of the seller of the underlying asset (the seller under the contract that is the underlying asset of an option) (a put option)

C - An option granting the right to the buyer to buy the underlying asset or obtain the benefit of the buyer of the underlying asset (the buyer under the contract that is an the underlying asset of an option) (a call option)

Z An option granting the right to the buyer to choose an option type in the future.

A third attribute of the option classification code is assigned based on the style of an option

A - An American option is an option where the buyer has the right to require its exercise at any time before expiration

E - A European option is an option where the buyer has the right to require its exercise only at a pre-defined point in time

B - A Bermudan option is an option where the buyer has the right to require its exercise at certain dates defined by the contract

A fourth attribute of the option classification code is assigned based on a strike price

F - A fixed strike price

L floating strike price that will be defined by default contract conditions in the future

X - A strike price is calculated by any other method defined the contract

A fifth attribute of the option classification code is assigned on the basis of an additional criterion of barrier condition for option exercise

N the condition, defining a barrier price of basis or other asset, when the option buyer has a right to demand the option execution on agreed date (period) or when the option execution date is not defined

B the right to demand the option execution arises when the price of basis or other asset or percentage rate reached a barrier price defined in the contract.

D the right to demand the option execution discontinued from the moment when the basis or other asset price (rate) reached a barrier price (rate) or percentage rate or expiration date defined in the contract.

M the right to demand the option execution arises when the price of basis or other asset or percentage rate is in a price barrier range (maximum or minimum price (rate)) or on expiration contract date when the price of basis or other asset or percentage rate is in a price barrier range (maximum or minimum price (rate))

X - Other provisions when the buyer has the right to require option exercise at a pre-defined date (a period of time)

A sixth attribute of the option classification code is assigned on the basis of underlying asset

E - Equity instruments (shares, units, depository receipts on shares)

D - Debt financial instruments (bonds, interest rates)

C - Commodities

V - Currency

A - Contract

X - Group of assets

M Other

Attributes of the swap classification code

A second attribute of the swap classification code is assigned on the basis of types of underlying assets

V - Currency swap;

P - Interest rate swap;

G - Currency and interest-rate swap;

C - Commodity swap;

A - Securities or index swaps;

M - Swap on other assets or combined assets.

A third attribute of the swap classification code describes the parties obligations given in units assumed to quantify an obligation

F - A fixed obligation against a fixed obligation;

V - A variable obligation against a variable obligation;

D - A fixed obligation against a variable obligation;

X - Other.

A fourth attribute of the swap classification code is assigned on the basis of the notional value

A - The notional value is amortized (decreases) over time;

H - The notional value increases over time;

W - The notional value is flat;

N - There is no notional value;

Х - Other.

A fifth attribute of the swap classification code indicates any other financial derivatives as an underlying asset

F One of the underlying asset or more than one underlying asset are a financial derivate;

N - No underlying asset that is a financial derivative.

A sixth attribute of the swap classification code indicates the right of one of the parties to amend the term of a swap

E - The right of one of the parties to extend the term;

T - The right of one of the parties to reduce the term;

W - The right of one of the parties to amend (extend or reduce) the term;

N - There is no right for any party to change the term unilaterally.

A seventh attribute of the swap classification code is assigned on the basis of floors and caps on obligations

U - There is a cap on an obligation;

D - There is a floor on an obligation;

W - There is a floor and a cap on an obligation;

N - There are no limitations.

Attributes of the forward classification code

A second attribute of the forward classification code is assigned on the basis of types of underlying assets

E - Equity instruments (shares, units, depository receipts on shares)

D - Debt financial instruments (bonds, interest rates)

С - Commodities;

V - Currency;

A - Contract;

X - Combined investment portfolio;

M - Other.

A third attribute of the forward classification code is assigned on the basis of a number of underlying assets

O - One underlying asset

W - A basket of underlying assets with delivery in full

S - A basket of underlying assets with settlement of one or several underlying assets at the choice of one of the parties or as defined by a contract

A fourth attribute of the forward classification code is assigned on the basis of the forward price

F fixed forward price or percentage rate

L floating forward price (rate) or percentage rate that will be defined by default contact conditions in the future

R forward price (rate) range, defining minimum or maximum price (rate) or percentage rate

A fifth attribute of the forward classification code is assigned on the basis of an additional criterion of early execution

E one or both parties has the right to demand early execution

N the condition of early execution is not defined

Attributes of the REPO Classification code

The second attribute of REPO classification code is assigned for the following instruments

E Equity instruments (shares, units, depository receipts on shares) basket of equity

D Debt financial instruments (bonds, interest rates), basket of FI

X Combined investment portfolio, basket of dissimilar assets

The third attribute of REPO classification code is assigned by a number of assets types

O Single assets.

W Assets basket without an option to change a collateral

S - Assets basket with an option to change a collateral

The fourth attribute of REPO classification code is assigned by the REPO rate

F fixed REPO rate

Z REPO rate is zero

L floating REPO rate

R REPO rate range defining by minimum and maximum REPO rate

A fifth attribute of REPO classification code is assigned by the REPO term

F fixed term of REPO contract

E fixed term REPO contract with the right to demand early execution by one of the counterparty

O REPO contract with open date