NSD’s trade repository messages specifications

Current specification


Products and sub-products list.

Documents group Document kind Document type
Group ID Short name Form code Product type Short name Product Sub-type Short name
00 Technical messages CM001 - Acknowledgement - -
CM002 - Disagreement - -
CM003 - Retraction - -
CM004 - Statement request - -
01 Master agreement CM010 MasterAgreementTerms Master agreement registration form - -
CM011 MasterAgreementTermination Master agreement termination form - -
02 FX CM021 fxSwap FX swap form ForeignExchange:FXSwap Deliverable foreign exchange swap (DFI)
ForeignExchange:FXSwap:Cash Cash-settled foreign exchange swap (DFI)
ForeignExchange:FXSwap:NonDerivative Deliverable foreign exchange swap (not DFI)
CM022 fxSingleLeg Foreign exchange spot transaction form ForeignExchange:Forward Deliverable foreign exchange forward (DFI)
ForeignExchange:NDF Non-deliverable foreign exchange forward (DFI)
ForeignExchange:Term Foreign exchange term transaction (not DFI)
ForeignExchange:Spot Foreign exchange spot transaction
CM023 fxOption FX option form ForeignExchange:VanillaOption:American American vanilla foreign exchange option
ForeignExchange:CashOption:American American cash-settled foreign exchange option
ForeignExchange:VanillaOption:European European vanilla foreign exchange option
ForeignExchange:NDO Non-deliverable foreign exchange option
ForeignExchange:VanillaOption:Bermuda Bermuda vanilla foreign exchange option
ForeignExchange:CashOption:Bermuda Bermuda cash-settled foreign exchange option
ForeignExchange:SimpleExotic:Asian Asian foreign exchange option
ForeignExchange:SimpleExotic:Barrier Barrier foreign exchange option
ForeignExchange:SimpleExotic:BarrierAsian Barrier Asian foreign exchange option
CM024 fxDigitalOption FX digital option form ForeignExchange:SimpleExotic:Digital:American American digital foreign exchange option
ForeignExchange:SimpleExotic:Digital:European European digital foreign exchange option
ForeignExchange:SimpleExotic:Digital:Bermuda Bermuda digital foreign exchange option
03 Interest rates CM031 fra FRA form InterestRate:FRA Forward rate agreement
CM032 swap IRS form InterestRate:IRSwap:FixedFloat Fixed-to-float interest rate swap
InterestRate:IRSwap:FixedFixed Fixed-to-fixed interest rate swap
InterestRate:IRSwap:Basis Basis interest rate swap
InterestRate:IRSwap:OIS Overnight index swap
InterestRate:CrossCurrency:Basis Cross-currency basis interest rate swap
InterestRate:CrossCurrency:FixedFloat Cross-currency fixed-to-float interest rate swap
InterestRate:CrossCurrency:FixedFixed Cross-currency fixed-to-fixed interest rate swap
CM033 capFloor Cap Floor form InterestRate:CapFloor:Cap Interest rate cap
InterestRate:CapFloor:Floor Interest rate floor
InterestRate:CapFloor:Collar Interest rate collar
InterestRate:CapFloor:Straddle Interest rate straddle
CM034 swaption Swaption form InterestRate:Option:Swaption:American American interest rate swaption
InterestRate:Option:Swaption:European European interest rate swaption
InterestRate:Option:Swaption:Bermuda Bermuda interest rate swaption
04 Trades with securities CM041 repo Repo form CrossAsset:Repo:BasketRepo Basket repo transaction
InterestRate:Repo:BondRepo Bond repo transaction
Equity:Repo:EquityRepo Equity repo transaction
CM042 bondSimpleTransaction Bond spot transaction form InterestRate:Other:DebtSpot Bond spot transaction
InterestRate:Other:DebtTerm Bond term transaction
CM043 bondForward Bond forward form InterestRate:Forward:DebtForward:SingleName Single bond forward
InterestRate:Forward:DebtForward:SingleIndex Index forward
InterestRate:Forward:DebtForward:Basket Bond basket forward
InterestRate:Forward:DebtForward:BasketIndex Index basket forward
CM044 bondOption Bond option form InterestRate:Option:DebtOption:SingleName Single bond option
CM045 bondBasketOption Bond basket option form InterestRate:Option:DebtOption:SingleIndex Index option
InterestRate:Option:DebtOption:Basket Bond basket option
InterestRate:Option:DebtOption:BasketIndex Index basket option
CM046 equitySimpleTransaction Equity simple transaction form Equity:Other:Spot Equity spot transaction
Equity:Other:Term Equity term transaction
CM047 equityForward Equity forward form Equity:Forward:PriceReturnBasicPerformance:SingleName Single equity forward
Equity:Forward:PriceReturnBasicPerformance:Basket Equity basket forward
CM048 equityOption Equity option form Equity:Option:PriceReturnBasicPerformance:SingleName Single equity option
Equity:Option:PriceReturnBasicPerformance:Basket Equity basket option
05 Commodity derivatives CM051 commodityForward Commodity forward form Commodity:Forward:Physical Physically settled commodity forward
Commodity:Forward:Cash Cash-settled commodity forward
CM052 commodityOption Commodity option form Commodity:Option:American Commodity American option
Commodity:Option:European Commodity European option
Commodity:Option:Asian Commodity Asian option
Commodity:Option:Weather:American American weather option
Commodity:Option:Weather:European European weather option
CM053 commoditySwap Commodity swap form Commodity:Swap:Cash Cash-settled commodity swap
Commodity:Swap:Physical Physically settled commodity swap
Commodity:Swap:Cash:Weather Cash-settled weather swap
CM054 commoditySwaption Commodity swaption form Commodity:Swaption:American American commodity swaption
Commodity:Swaption:European European commodity swaption
06 Swaps CM061 bondSwap Bond return swap form InterestRate:Swap:BondSwap:SingleName Single bond swap
InterestRate:Swap:BondSwap:SingleIndex Bond index swap
InterestRate:Swap:BondSwap:Basket Bond basket swap
CM062 equitySwapTransactionSupplement Equity return swap form Equity:Swap:PriceReturnBasicPerformance:SingleName Single equity swap
Equity:Swap:PriceReturnBasicPerformance:SingleIndex Equity index swap
Equity:Swap:PriceReturnBasicPerformance:Basket Equity basket swap
07 Credit derivatives CM071 creditDefaultSwap Credit default swap form Credit:Swap:Index:Cash Index credit default swap
Credit:Swap:SingleName:Cash Cash-settled single-name credit default swap
Credit:Swap:SingleName:Physical Physically settled single-name credit default swap
Credit:Swap:MultipleName:Cash Cash-settled basket credit default swap
Credit:Swap:MultipleName:Physical Physically settled basket credit default swap
CM072 creditDefaultSwaption Credit default swaption form Credit:SwapOption:American American credit default swaption
Credit:SwapOption:European European credit default swaption
Credit:SwapOption:Bermuda Bermuda credit default swaption
08 Other trades CM081 generalProduct General product form Other Other product
CM083 repoBulkReport Bulk Repo report Other Other product
CM084 fxSwapBulkReport FX Swap bulk report Other Other product
CM085 fxSingleLegBulkReport FX SingleLeg bulk report Other Other product
09 Aggregated reports CM092 - Credit support annex reporting form - -
CM093 - Contract obligation status form - -
CM094 - Mark to market valuation reporting form - -