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Properties required for Ucits Ie

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Asset Properties

An asset is the specific position a portfolio has in an instrument. Instrument properties are independent of portfolio, whereas asset properties are specifc to the portfolio

Property Name Applies To Description Data type Valid values & notes
AssetId required All Unique ID of the asset String e.g. ISIN + Market for listed instruments, Alternative Instrument Identifier for OTCs.
Must be unique for every asset in the portfolio and consistent across NAV dates
AssetName required All Name of the asset String
CollateralCounterparty All The counterparty which has given this position as collateral String
DaysToListing All For unlisted securities, how many days until a listing is foreseen. Integer
IsCollateral All If the position is being used as collateral Boolean
IsExcludedFromLeverage All Set to true if there are positions that shouldn't be included in the Leverage Calculation Boolean
IsShareClassHedge All Set to true for positions that are used for Share Class Hedging Boolean Defaults to false if not provided.
MarketValue All Market value of a position in portfolio currency Decimal If the market value can't be provided in portfolio currency, it should be provided in instrument currency (property MarketValueInInstrumentCurrency). For derivatives the market value should represent the equivalent value of the underlying asset as opposed to the PnL of the contract.
MarketValueInInstrumentCurrency All Market value of a position in instrument currency Decimal Should only be provided if the market value can't be provided in portfolio currency (property MarketValue). For derivatives the market value should represent the equivalent value of the underlying asset as opposed to the PnL of the contract.
MTM All Calculated Mark to Market Value Decimal
NettingAgreement All If there is a netting agreement in place for the counterparty and this fund Boolean
PnL All Unrealised Profit or Loss of an Asset Decimal
Quantity required All Quantity of the position Decimal

Instrument Properties

An instrument is the portfolio independent information

Property Name Applies To Description Data type Valid values & notes
AssetClass required All Asset class (e.g. Equity, Bond, CFD etc.) String Valid values: ADR, Bond, CDS, CFD, Convertible, Deposit, Equity, Forward, Future, FxForward, Index, Option, Rights, StructuredProduct, Swap, Unit, Warrant.
To ignore this asset during checking, set to 'Ignore'
AssetClassCustomer All Customer defined asset class String Only used for display purposes / in forms
e.g. if you have a more granular definition
CallOrPut Warrant, Option required If an option / warrant is call or put String Valid values: Call, Put.
CanInvestGreater10InOtherOpenCIS Unit If a unit can invest more than 10% in other open ended CIS Boolean
ContractSize CFD, Future, Option, Warrant Contract size of a derivative. If relevant, this should be in instrument currency Decimal e.g. 1000 would mean every option represents 1000 of the underlying.
ConversionRatio ADR, Convertible, Rights Convertible: the number of equities one convertible converts into;
DR: the number of underlying shares represented in one DR;
Right: the number of underlying securities that one right gives entitlement to.
Decimal
Counterparty All Counterparty to an OTC deal or a deposit String
CounterpartyDomicile All Where the counterparty is domiciled (used for calculating if OTC counterparty can be 5 or 10% NAV and for calculating if deposits are eligible) String Valid values: ISO 3166-1 Alpha 2 country codes.
CounterpartyGroup All Group of Counterparty to an OTC deal or a deposit String
CounterpartyIsCreditInstitution All If the counterparty is a credit institution (used to work out if the counterparty is eligible for an OTC deal) Boolean
CounterpartyRating All If the counterparty to an OTC deal is not a credit institution, this rating must be greater A2 String Valid values: A-1, A-1+, A-2, A-3, B, C, D, NR, Unknown.
Delta Convertible, Option, Warrant Delta of the asset (price sensitivity with relation to the underlying) Decimal
HasUnitsInOtherSubFunds Unit If the unit has units in other sub funds of the umbrella Boolean
InstrumentCurrency All
Index, StructuredProduct required
Currency the instrument is denominated in String Valid values: ISO 4217 currency codes.
InstrumentId required All Identifier to link assets to instruments and instruments to Underlying instruments String Must be unique for every instrument in one upload
InstrumentName required All Instrument name String
IsCashSettled CFD, Future, Option, Swap, Warrant required If the derivative is cash settled (as opposed to requiring physical delivery) Boolean Most countries capture physically settled derivatives, many (but less) are interested in cash settled derivatives.
IsCovered Bond required If the bond is a covered bond (i.e. Pfandbrief) Boolean
IsGovernmentBacked Bond If the bond is government backed or guaranteed Boolean
ISIN ADR, Bond, CDS, CFD, Convertible, Equity, Future, Option, Swap, Unit, Warrant ISIN of the instrument String Used to look-up Instrument in many lists such as EU Short Selling Exempt, short selling black & white lists, Takeover lists etc.
IsListed All If the security is listed on a recognized exchange Boolean
IsOTC All
CFD, Future, Forward, FxForward, Option, Swap, Warrant required
If the derivative is an OTC Boolean
IssueDate ADR, Bond, Convertible, Equity, Unit, Warrant Date the security was first issued Date
IssuerDomicile All Domicile of the issuer String Valid values: ISO 3166-1 Alpha 2 country codes.
IssuerGroup ADR, Bond, Convertible, Equity, Unit, Warrant Group of the issuer (ultimate parent issuer) String
IssuerId ADR, Bond, Convertible, Equity, Warrant Unique identifier for the issuer of the instrument String Defaults to Issuer if not provided.
This allows you to link assets of the same issuer together. If you don't have an Id, the Name can be used, but may not 100% accurate. You could use the issuer's LEI here
IssuerName ADR, Bond, Convertible, Equity, Warrant Name of the issuer of the instrument String Not needed if you're using the name as the IssuerId
IssuerRating ADR, Bond, Convertible, Equity, Unit, Warrant Rating of the issuer (needed for collateral for OTCs) String Valid values: A, A-, A+, AA, AA-, AA+, AAA, B, B-, B+, BB, BB-, BB+, BBB, BBB-, BBB+, C, CC, CCC, CCC-, CCC+, NR, Unknown.
IsUcits Unit If the unit is of a UCITS fund Boolean
ListingDate ADR, Bond, Convertible, Equity, Unit, Warrant Date a security was, or will be, listed Date
Market ADR, Bond, CDS, CFD, Convertible, Equity, Future, Option, Rights, Swap, Unit, Warrant Market identification code for the market this instrument is traded on String ISO 10383 code (MIC). Used as a lookup to calculate listing country and also for certain rules to see if market is in a list of specific markets. For securities with no market, use value: XXXX
MaturityDate Convertible, Future, Option, Swap, Warrant Convertible, Right, Warrant: Expiry date
Physically settled derivative When the securities are to be delivered
Bond, Deposit: Maturity Date
Date Necessary for USA & Canada to determine if expiry within next 60 days
Nominal Bond, Convertible Total nominal value of a bond or convertible bond position, or the number of bonds held multiplied by the bond's face value Decimal
ParentUmbrellaId Unit An identifier of the umbrella parent of a fund. If not defined or the fund does not have an umbrella fund, the property will use the ISIN of the sub fund/fund String Defaults to ISIN if not provided.
Price All Price of the instrument in instrument currency Decimal
RepayableOrWithdrawable Deposit If the deposit is repayable on demand or withdrawable Boolean
SecurityIs144A ADR, Bond, Convertible, Equity, Unit, Warrant If the security is a 144A security Boolean
TotalDebtSecurities Bond Total value of debt securities of this issuer in circulation (if unavailable the rule does not have to be checked) Decimal
TotalNonVotingShares Equity Total amount of non-voting shares in circulation Decimal
TotalUmbrellaUnits Unit Total amount of units of a funds umbrella fund in circulation. If the fund does not have an umbrella fund or if the data is unavailable the rule will run on individual level instead. If the total amount of units in circulation of the fund/sub fund is not available the rule does not have to be checked Decimal Defaults to TotalUnits if not provided.
TotalUnits Unit Total amount of units of a fund in circulation (if unavailable the rule does not have to be checked) Decimal
TotalVotingShares Equity Total amount of outstanding shares with voting rights attached in circulation Decimal Required for: Kenya, Kuwait, Malaysia, Thailand
VotesPerShare Equity Number of votes attached to a single share Decimal

Properties valid for ALL AssetClasses

AssetClass, AssetClassCustomer, AssetId, AssetName, CollateralCounterparty, Counterparty, CounterpartyDomicile, CounterpartyGroup, CounterpartyIsCreditInstitution, CounterpartyRating, DaysToListing, InstrumentCurrency, InstrumentId, InstrumentName, IsCollateral, IsExcludedFromLeverage, IsListed, IsOTC, IsShareClassHedge, IssuerDomicile, MarketValue, MarketValueInInstrumentCurrency, MTM, NettingAgreement, PnL, Price, Quantity

Properties valid for each AssetClass

Asset Class Valid Underlyings Properties
ADR Equity required ConversionRatio, ISIN, IssueDate, IssuerGroup, IssuerId, IssuerName, IssuerRating, ListingDate, Market, SecurityIs144A
Bond IsCovered, IsGovernmentBacked, ISIN, IssueDate, IssuerGroup, IssuerId, IssuerName, IssuerRating, ListingDate, Market, Nominal, SecurityIs144A, TotalDebtSecurities
CDS Bond, Index, StructuredProduct required ISIN, Market
CFD Bond, Convertible, Equity, Index, StructuredProduct required ContractSize, IsCashSettled, ISIN, Market
Convertible Equity required ConversionRatio, Delta, ISIN, IssueDate, IssuerGroup, IssuerId, IssuerName, IssuerRating, ListingDate, Market, MaturityDate, Nominal, SecurityIs144A
Deposit RepayableOrWithdrawable
Equity ISIN, IssueDate, IssuerGroup, IssuerId, IssuerName, IssuerRating, ListingDate, Market, SecurityIs144A, TotalNonVotingShares, TotalVotingShares, VotesPerShare
Forward Bond, Convertible, Equity, Index, StructuredProduct required
Future Bond, Convertible, Equity, Index, StructuredProduct required ContractSize, IsCashSettled, ISIN, Market, MaturityDate
FxForward
Index Equity multiple
Option Bond, Convertible, Equity, Future, Index, StructuredProduct, Unit required multiple CallOrPut, ContractSize, Delta, IsCashSettled, ISIN, Market, MaturityDate
Rights Equity required ConversionRatio, Market
StructuredProduct ADR, Bond, CDS, Convertible, Equity, Forward, Future, Index, Option, StructuredProduct multiple
Swap ADR, Bond, Convertible, Equity, Index, StructuredProduct required multiple IsCashSettled, ISIN, Market, MaturityDate
Unit ADR, Bond, CDS, Convertible, Equity, Forward, Future, Option, StructuredProduct multiple CanInvestGreater10InOtherOpenCIS, HasUnitsInOtherSubFunds, ISIN, IssueDate, IssuerGroup, IssuerRating, IsUcits, ListingDate, Market, ParentUmbrellaId, SecurityIs144A, TotalUmbrellaUnits, TotalUnits
Warrant Equity required CallOrPut, ContractSize, Delta, IsCashSettled, ISIN, IssueDate, IssuerGroup, IssuerId, IssuerName, IssuerRating, ListingDate, Market, MaturityDate, SecurityIs144A