Example Contract Terms

ACTUS terms for some example contracts

Coupon-Paying Bond (PAM)

This product reflects an unsecured, fixed-rate coupon bearing bond with a 1 year lifetime. The product offers the investor a quarterly (interest) coupon payment.

The interest rate is 0.5% and the notional principal is 100k TUSD.

{
   "contractType": "PAM",
   "calendar": "MF",
   "contractRole": "RPA",
   "dayCountConvention": "A360",
   "businessDayConvention": "CSMF",
   "endOfMonthConvention": "SD",
   "scalingEffect": "000",
   "feeBasis": "A",
   
   "currency": "0x6Ce7BFC48be104950D6506c7FC16486446a24261",
   "settlementCurrency": null,
   
   "marketObjectCodeRateReset": null,

   "issueDate": null,   
   "statusDate": "2020-09-25T10:20:40.000Z",
   "initialExchangeDate": "2020-09-26T10:20:40.000Z",
   "maturityDate": "2021-09-25T10:20:40.000Z",
   "purchaseDate": null,
   "capitalizationEndDate": null,
   "cycleAnchorDateOfInterestPayment": "2020-12-25T10:20:40.000Z"
   "cycleAnchorDateOfRateReset": null,
   "cycleAnchorDateOfScalingIndex": null,
   "cycleAnchorDateOfFee": null,
   
   "notionalPrincipal": "100000",
   "nominalInterestRate": "0.005",
   "accruedInterest": "0",
   "rateMultiplier": "0",
   "rateSpread": "0",
   "nextResetRate": "0",
   "feeRate": "0",
   "feeAccrued": "0",
   "premiumDiscountAtIED": "0",
   "priceAtPurchaseDate": "0",
   "priceAtTerminationDate": "0",
   
   "lifeCap": "0",
   "lifeFloor": "0",
   "periodCap": "0",
   "periodFloor": "0",
   
   "gracePeriod": "30D",
   "delinquencyPeriod": "6M",
   
   "cycleOfInterestPayment": "3M-",
   "cycleOfRateReset": "0D-",
   "cycleOfScalingIndex": "0D-",
   "cycleOfFee": "0D-",
}

Amortizing Loan (ANN)

This product reflects an unsecured, amortizing fixed-rate loan. Principal and coupon are paid monthly to the investor.

The interest rate is 0.5% and the notional principal is 100k TUSD. Both grace and delinquency periods have been defined.

{
   "contractType": "ANN",
   "calendar": "MF",
   "contractRole": "RPA",
   "dayCountConvention": "A360",
   "businessDayConvention": "CSMF",
   "endOfMonthConvention": "SD",
   "scalingEffect": "000",
   "feeBasis": "A",
   
   "currency": "0x6Ce7BFC48be104950D6506c7FC16486446a24261",
   "settlementCurrency": null,
   
   "marketObjectCodeRateReset": null,
   
   "issueDate": null,
   "statusDate": "2020-09-02T10:53:26.000Z",
   "initialExchangeDate": "2020-09-03T10:53:26.000Z",
   "maturityDate": "2021-09-02T10:53:26.000Z",
   "purchaseDate": null,
   "capitalizationEndDate": null,
   "cycleAnchorDateOfInterestPayment": "2020-10-02T10:53:26.000Z",
   "cycleAnchorDateOfRateReset": null,
   "cycleAnchorDateOfScalingIndex": null,
   "cycleAnchorDateOfFee": null,
   "cycleAnchorDateOfPrincipalRedemption": "2020-10-02T10:53:26.000Z"
   
   "notionalPrincipal": "100000",
   "nominalInterestRate": "0.005",
   "accruedInterest": "0",
   "rateMultiplier": "0",
   "rateSpread": "0",
   "nextResetRate": "0",
   "feeRate": "0",
   "feeAccrued": "0",
   "premiumDiscountAtIED": "0",
   "priceAtPurchaseDate": "0",
   "priceAtTerminationDate": "0",
   "nextPrincipalRedemptionPayment": "2.6667",
   
   "lifeCap": "0",
   "lifeFloor": "0",
   "periodCap": "0",
   "periodFloor": "0",
   
   "gracePeriod": "5D",
   "delinquencyPeriod": "30D",

   "cycleOfInterestPayment": "1M-",
   "cycleOfRateReset": "0D-",
   "cycleOfScalingIndex": "0D-",
   "cycleOfFee": "0D-",
   "cycleOfPrincipalRedemption": "1M-",
}

Performance Certificate on Underlying (CERTF)

This product reflects an open-ended performance certificate on an exchange-traded, underlying asset. The product offers the investor a bi-monthly redemption option.

{
    "contractType": "CERTF",
    "calendar": "MF",
    "contractRole": "BUY",
    "dayCountConvention": "AA",
    "businessDayConvention": "CSF",
    "endOfMonthConvention": "EOM",
    "couponType": "NOC",
    
    "currency": "0x1c36690810ad06fb15552657c7a8ff653eb46f76",
    "settlementCurrency": null,
    
    "issueDate": "2020-06-18T00:00:00.000Z",
    "statusDate": "2020-06-18T00:00:00.000Z",
    "initialExchangeDate": null,
    "maturityDate": null,
    "cycleAnchorDateOfRedemption": "2020-07-18T00:00:00.000Z",
    "cycleAnchorDateOfTermination": null,
    "cycleAnchorDateOfCoupon": null,
    
    "nominalPrice": "1000",
    "issuePrice": "987.14",
    "quantity": "1000",
    "denominationRatio": "1",
    "couponRate": "0",
    
    "gracePeriod": "10D",
    "delinquencyPeriod": "90D",
    "settlementPeriod": "2D",
    "fixingPeriod": "0D",
    "redemptionRecordPeriod": "1D",
    
    "cycleOfRedemption": "1M-",
    "cycleOfTermination": "0D-",
    "cycleOfCoupon": "0D-",

    "contractStructure": {
        "contractReference": [
            {
                "object": "0x43483232337276325f5246445f5241",
                "object2": "0x756e646566696e6564",
                "type": "MOC",
                "role": "UDL"
            },
            {
                "object": "0x43483232337276325f5246445f5154",
                "object2": "0x756e646566696e6564",
                "type": "MOC",
                "role": "UDL"
            }
        ]
    }
}

Single-Entity Credit Default Swap (CEG)

This product protects the buyer from a credit event on a single underlying instrument.

{
   "contractType": "CEG",
   "calendar": "MF",
   "contractRole": "BUY",
   "dayCountConvention": "A360",
   "businessDayConvention": "CSMF",
   "endOfMonthConvention": "SD",
   "feeBasis": "A",
   "creditEventTypeCovered": "DF",
   
   "currency": "0x6Ce7BFC48be104950D6506c7FC16486446a24261",
   "settlementCurrency":null,
   
   "statusDate": "2020-10-01T14:29:24.000Z",
   "maturityDate": "2021-10-01T14:29:24.000Z",
   "purchaseDate":null,
   "cycleAnchorDateOfFee":null,
   
   "notionalPrincipal": "32",
   "delinquencyRate": "0",
   "feeAccrued": "0",
   "feeRate": "0",
   "priceAtPurchaseDate": "0",
   "priceAtTerminationDate": "0",
   "coverageOfCreditEnhancement": "1",
   
   "gracePeriod": "5D",
   "delinquencyPeriod": "30D",
   
   "cycleOfFee": "0D-",
   
   "contractStructure":{
      "contractReference":[
         {
            "object": "0xa6203756524a554bf7d6cfe88a9ac415c83ed65d123227bb2026d936e5a4bcdf",
            "object2": "0x0000000000000000000000002194bd1c5f48eaccbdc2b894abe98afa116aced8",
            "type": "CID",
            "role": "COVE"
         },
         {
            "object": "0x0000000000000000000000000000000000000000000000000000000000000000",
            "object2": "0x0000000000000000000000000000000000000000000000000000000000000000",
            "type": "CNT",
            "role": "UDL"
         }
      ]
   }
}