PB-02 — Debt Instrument
A tradable debt security — a government, supranational, agency or corporate bond, a note or a money-market instrument — held directly or through a separately managed account.
Specialises: E-02 Instrument / Asset (instrument_class = debt). A position in a bond is a Holding (E-04) in an Instrument of class debt; PB-02 carries the issue, maturity, coupon and seniority detail behind it. It aligns to the FIBO Securities domain’s debt-instrument concepts — OpenIM references FIBO for what a bond is and adds only the buy-side operating attributes.
Purpose
A debt instrument differs from a listed equity in one structural way that the data model must reflect: the issuer is the credit exposure. An equity’s risk is the company’s; a bond’s risk is the issuer’s ability and willingness to pay, and that risk is shared across every bond the issuer has on issue. The relationship from PB-02 to the issuing Legal Entity (E-01) is therefore load-bearing — it is the join on which issuer-level credit-risk aggregation (SD-07.2) depends. The entity also carries the contractual cash-flow shape — coupon rate, frequency, maturity, amortisation — that distinguishes a bond from an equity, whose return is not contractual.
Attribute schema
| Column | Type | Definition |
|---|---|---|
instrument_id | varchar (FK → E-02) | Golden key. The core Instrument / Asset record this debt instrument specialises. |
issuer_entity_id | varchar (FK → E-01) | The issuing Legal Entity in the issuer role — the credit. Issuer-level exposure aggregates on this key. |
debt_type | varchar | government / supranational / agency / corporate / covered / securitised / money_market. |
seniority | varchar | senior_secured / senior_unsecured / subordinated / tier_2 / at1 — rank in the issuer’s capital structure on default. |
isin | varchar | International Securities Identification Number. |
cusip | varchar | CUSIP, where North American. |
figi | varchar | FIGI, where one exists. |
face_value | decimal | Par / nominal value of one unit — the redemption amount per unit at maturity. |
currency | char | Denomination currency. |
issue_date | date | The dated date — when interest begins to accrue. |
maturity_date | date | Scheduled final redemption date; null for a perpetual. |
coupon_rate | float | The stated annual coupon rate; for a floater, the reference-rate spread is held alongside. |
coupon_type | varchar | fixed / floating / zero / step_up / inflation_linked. |
coupon_frequency | varchar | annual / semi_annual / quarterly / monthly — payments per year. |
day_count_convention | varchar | The accrual basis — 30/360, ACT/ACT, ACT/360, etc. |
reference_rate | varchar | For a floater — the index the coupon resets against (e.g. SOFR, EURIBOR), null otherwise. |
callable | boolean | Whether the issuer holds an embedded call option. |
credit_rating | varchar (FK → E-11) | Issue-level rating (the in-record view of a Classification, E-12); the issuer-level rating sits on the E-01 issuer role. |
amortising | boolean | Whether principal repays over the life rather than as a bullet at maturity. |
status | varchar | active / matured / called / defaulted. |
Notes
- One issuer (one E-01) is typically behind many PB-02 records — a corporate or sovereign with a curve of bonds across maturities and seniorities. Credit-risk aggregation (SD-07.2 Credit & Counterparty Risk) rolls every PB-02 up to the
issuer_entity_id, and through the issuer’sparent_entity_idto the group. - The contractual coupon and redemption schedule is forward-known at issue. PB-08 Income Schedule materialises it as dated rows so accrual, income forecasting and fixed-income attribution can compute against it.
- A guarantor — a parent guaranteeing a subsidiary’s debt — is a second E-01 relationship; the entity holds it as a note today, with an open extension to model it as a Party Relationship.
- Money-market instruments (T-bills, commercial paper, CDs) are PB-02 records with
coupon_type = zeroor short maturities; they are not a separate entity.
Out of scope
- The generic instrument record a debt instrument specialises — that is E-02 Instrument / Asset of
instrument_class = debt; PB-02 carries the issue, maturity, coupon and seniority detail. - The issuing legal entity — the credit — that is E-01 Legal Entity in the
issuerrole; one issuer is typically behind many PB-02 records, and credit-risk aggregation rolls up toissuer_entity_id. - A share in a company — that is PB-01 Listed Equity; PB-02 is the debt-class instrument only.
- The forward coupon and redemption calendar — that is PB-08 Income Schedule, which materialises PB-02’s contractual terms as dated rows.
Owned and consumed by
- Owned by: SD-13.1 Instrument & Security Master.
- Populated via: SD-13.4 Market & Reference Data Management.
- Consumed by: SD-07.2 Credit & Counterparty Risk Management (issuer-credit aggregation), SD-08.1 Security Pricing, SD-09.2 Performance Attribution (fixed-income attribution), SD-12.6 Corporate Actions Processing, SD-12.7 Income & Distribution Processing, SD-11.8 Securities Finance & Funding.
Open extensions
- The guarantor relationship modelled as a Party Relationship (paired with the open extension on E-01).
- The full embedded-optionality sub-model — call / put / sink schedules — feeding option-adjusted analytics.
- The relationship between PB-02 and PB-08 Income Schedule for floating-rate reset projection.
- The concrete FIBO Securities (debt instrument) concept mapping.