CollateralSubstitutionEvent

A collateral substitution is an event where two parties, having previously entered into a repurchase agreement, or securities lending, agree that collateral used for the transaction be substituted with equivalent collateral. The new collateral must be deemed acceptable, in grade and quality and have an equivalent valuation compared substituted collateral at the time of the substitution.

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Field	Type	Description	Print form title	FFSM title	Properties	Conditions
eventDate	IdentifiedDate	The date the event has been recorded.	Event date.		1-1, mfr
previousCollateral	CollateralValuationNsd	The collateral previously pledged in the transaction, properly valued as of the date of substitution.	Previous collateral.		1-1, mfr
newCollateral	CollateralValuationNsd	The new collateral to use in the transaction, valued as of the date of substitution.	New collateral.		1-1, mfr
settlementTransfer	SettlementTransfer	The settlement transfer structure may be used by participants that want to explicitly restate who will deliver what, when and how.	Settlement transfers.		0-1, mfr

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CollateralSubstitutionEvent

eventDate(IdentifiedDate)

	The date the event has been recorded.

previousCollateral(CollateralValuationNsd)

	The collateral previously pledged in the transaction, properly valued as of the date of substitution.

A choice of the model of defining an asset.

Group

nominalAmount(Money)

	Defines collateral nominal amount.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(decimal)

	The monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.

cleanPrice(decimal)

	Bond clean price, expressed in percentage points, 100 is the initial value of the bond.

accruals(decimal)

	Accruals, relationship is clean price and accruals equals dirty price, all prices are expressed in percentage points, 100 is the initial value of the bond.

dirtyPrice(decimal)

Bond dirty price, expressed in percentage points, 100 is the initial value of the bond.

Group

numberOfUnits(decimal)

	The number of units (index or securities).

unitPrice(Money)

	The price of each unit.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(decimal)

	The monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.

assetReference(AssetReference)

	This is used in messages to the repository to refer to the identifier of the specific asset defined for the repo transaction in Repo/BondEquity.model. The identifier should be unique within the document.
	A reference to explicitly identify which asset is being valued.

securityHaircut(SecurityHaircut)

Defines haircut of the security in the repo basket.

haircutValue(decimal)

	Defines a haircut applicable to a given collateral constituent in the transaction.

A choice of the limits of haircut value fluctuation.

haircutDivergence(decimal)

	Specifies maximum haircut divergence that determines collateral revaluation.

Sequence

haircutHigh(decimal)

	Specifies haircut high value that determines collateral revaluation.

haircutLow(decimal)

	Specifies haircut low value that determines collateral revaluation.

newCollateral(CollateralValuationNsd)

	The new collateral to use in the transaction, valued as of the date of substitution.

A choice of the model of defining an asset.

Group

nominalAmount(Money)

	Defines collateral nominal amount.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(decimal)

	The monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.

cleanPrice(decimal)

	Bond clean price, expressed in percentage points, 100 is the initial value of the bond.

accruals(decimal)

	Accruals, relationship is clean price and accruals equals dirty price, all prices are expressed in percentage points, 100 is the initial value of the bond.

dirtyPrice(decimal)

Bond dirty price, expressed in percentage points, 100 is the initial value of the bond.

Group

numberOfUnits(decimal)

	The number of units (index or securities).

unitPrice(Money)

	The price of each unit.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(decimal)

	The monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.

assetReference(AssetReference)

	This is used in messages to the repository to refer to the identifier of the specific asset defined for the repo transaction in Repo/BondEquity.model. The identifier should be unique within the document.
	A reference to explicitly identify which asset is being valued.

securityHaircut(SecurityHaircut)

Defines haircut of the security in the repo basket.

haircutValue(decimal)

	Defines a haircut applicable to a given collateral constituent in the transaction.

A choice of the limits of haircut value fluctuation.

haircutDivergence(decimal)

	Specifies maximum haircut divergence that determines collateral revaluation.

Sequence

haircutHigh(decimal)

	Specifies haircut high value that determines collateral revaluation.

haircutLow(decimal)

	Specifies haircut low value that determines collateral revaluation.

settlementTransfer(SettlementTransfer)

	The settlement transfer structure may be used by participants that want to explicitly restate who will deliver what, when and how.

Selecting one of variants:

id(SettlementTransferId)

versionedId(VersionedSettlementTransferId)

id(SettlementTransferId)

version(nonNegativeInteger)

	The version number of idenrifier.

effectiveDate(IdentifiedDate)

Optionally it is possible to specify a version effective date when a versionId is supplied.

Selecting one of variants:

type(SettlementTransferType)

versionedType(VersionedSettlementTransferType)

type(SettlementTransferType)

version(nonNegativeInteger)

	The version number of idenrifier.

effectiveDate(IdentifiedDate)

Optionally it is possible to specify a version effective date when a versionId is supplied.

transfer(Transfer)

	An elementary transfer. There can be as many transfers specified in this structure as required.

Selecting one of variants:

id(TransferId)

versionedId(VersionedTransferId)

id(TransferId)

version(nonNegativeInteger)

	The version number of idenrifier.

effectiveDate(IdentifiedDate)

Optionally it is possible to specify a version effective date when a versionId is supplied.

Selecting one of variants:

tradeComponentIdentifier(TradeComponentIdentifier)

Selecting one of variants:

repoLegId(RepoLegId)

versionedRepoLegId(VersionedRepoLegId)

id(RepoLegId)

version(nonNegativeInteger)

	The version number of idenrifier.

effectiveDate(IdentifiedDate)

Optionally it is possible to specify a version effective date when a versionId is supplied.

repoLegReference(RepoTransactionLegReference)

Selecting one of variants:

eventId(EventId)

versionedEventId(VersionedEventId)

id(EventId)

version(nonNegativeInteger)

	The version number of idenrifier.

effectiveDate(IdentifiedDate)

Optionally it is possible to specify a version effective date when a versionId is supplied.

eventReference(EventReference)

Selecting one of variants:

streamId(StreamId)

versionedStreamId(VersionedStreamId)

id(StreamId)

version(nonNegativeInteger)

	The version number of idenrifier.

effectiveDate(IdentifiedDate)

Optionally it is possible to specify a version effective date when a versionId is supplied.

streamReference(StreamReference)

tradeAndComponentIdentifier(TradeAndComponentIdentifier)

A choice of method of specifying a trade identifier.

Sequence

issuer(IssuerId)

	The data type used for issuer identifiers.

tradeId(TradeId)

	Trade identifier given by a party specified in the 'issuer' element.

Sequence

partyReference(PartyReference)

	Reference to a party.

A choice of a trade identifier type.

tradeId(TradeId)

	Trade identifier given by a party specified in the 'partyReference' element.

tradeComponentIdentifier(TradeComponentIdentifier)

Selecting one of variants:

repoLegId(RepoLegId)

versionedRepoLegId(VersionedRepoLegId)

id(RepoLegId)

version(nonNegativeInteger)

	The version number of idenrifier.

effectiveDate(IdentifiedDate)

Optionally it is possible to specify a version effective date when a versionId is supplied.

repoLegReference(RepoTransactionLegReference)

Selecting one of variants:

eventId(EventId)

versionedEventId(VersionedEventId)

id(EventId)

version(nonNegativeInteger)

	The version number of idenrifier.

effectiveDate(IdentifiedDate)

Optionally it is possible to specify a version effective date when a versionId is supplied.

eventReference(EventReference)

Selecting one of variants:

streamId(StreamId)

versionedStreamId(VersionedStreamId)

id(StreamId)

version(nonNegativeInteger)

	The version number of idenrifier.

effectiveDate(IdentifiedDate)

Optionally it is possible to specify a version effective date when a versionId is supplied.

streamReference(StreamReference)

netTradeIdentifier(NetTradeIdentifier)

A choice of method of specifying a trade identifier.

Sequence

issuer(IssuerId)

	The data type used for issuer identifiers.

tradeId(TradeId)

	Trade identifier given by a party specified in the 'issuer' element.

Sequence

partyReference(PartyReference)

	Reference to a party.

A choice of a trade identifier type.

tradeId(TradeId)

	Trade identifier given by a party specified in the 'partyReference' element.

linkId(LinkId)

	Use to relating reported trade with master agreements. Contains master agreement identifier. Filled only within element describing identifier given by the repository.
	Master agreement identifier.

originalTradeIdentifier(TradeIdentifierList)

tradeIdentifier(TradeIdentifier)

A choice of method of specifying a trade identifier.

Sequence

issuer(IssuerId)

	The data type used for issuer identifiers.

tradeId(TradeId)

	Trade identifier given by a party specified in the 'issuer' element.

Sequence

partyReference(PartyReference)

	Reference to a party.

A choice of a trade identifier type.

tradeId(TradeId)

	Trade identifier given by a party specified in the 'partyReference' element.

deliveryMethod(DeliveryMethodEnum)

	Specify the delivery method. There is a business rule associated with this field: if deliveryMethod is DVP then you must specify a cashTransfer and a securityTransfer at the same time. It is incorrect to specify DVP and give only a cash transfer instruction.
	DeliveryVersusPayment;FreeOfPayment;

transferDate(IdentifiedDate)

	The date at which the transfer should occur.

Specifying variant of the transfer.

securityTransfer(SecurityTransfer)

	A transfer of securities between two parties.

quantity(decimal)

	The quantity of asset being transfered.
	Total notional quantity.

assetReference(AssetReference)

	The asset being transfered.
	Underlying asset code.

delivererPartyReference(PartyReference)

	Reference to the party delivering the asset.

receiverPartyReference(PartyReference)

	Reference to the party receiving the asset.

Sequence

cashTransfer(CashTransfer)

	A transfer of a cash amount between two parties.

transferAmount(Money)

	The money to transfer.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(decimal)

	The monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.

payerPartyReference(PartyReference)

	A reference to the party responsible for making the payments defined by this structure.
	Party code.

receiverPartyReference(PartyReference)

	A reference to the party that receives the payments corresponding to this structure.
	Party code.

attributions(Attributions)

For accounting, reporting or regulatory reasons, the transfer may have to be explained in a series of individual amounts. It may be possible for example to break down a transfer amount into constituents (gross, tax, net) or into individual amounts (interest, penalty) that would be netted at the transfer level. The attributions structure allows participants to explain their transfer amounts for better traceability. This is strictly optional.

settlementCurrency(Currency)

The currency that is used for all the attributions expressed with settlementAmount. The reason for this is to avoid repeating the currency (for example using FpML:Money) for every attribution amount in the structure. We therefore assume that attributions are expressed in a maximum of three currencies, which we specify here. The settlementCurrency is assumed to be the settlement currency of the trade in general cases.

baseCurrency(Currency)

	The currency that is used for all the attributions expressed with baseAmount. The baseCurrency is usually USD within the firm, but it is in fact driven by the accounting engine expectations.

underlyingCurrency(Currency)

	The currency that is used for all the attributions expressed with underlyingAmount. Underlying currency is the currency of issuance for the underlying instrument. So if you need to express attributions on a Repo settling in EUR but with GBP instruments, you would specify underlyingCurrency to be GBP.

attribution(Attribution)

	The attributions go here. There is no limit on the number of attributions.

type(AttributionType)

	The attribution type. The cash settlement amount specified in the enclosing transfer will be broken down into several subcomponents (like a PandL explain), and the type of the breakdown is defined here. Typical values are in a scheme.

settlementAmount(decimal)

An amount expressed in the settlement currency that was indicated in the enclosing Attributions structure. This is done to avoid repeating the currency for every amount when we know that attributions are expressed in a consistent way, with the same currencies.

baseAmount(decimal)

An amount expressed in the base currency defined in the enclosing Attributions structure (see baseCurrency). If this optional field is present, baseCurrency must be defined in the enclosing structure.

underlyingAmount(decimal)

An amount expressed in the currency of an underlyer (see underlyingCurrency). If this field is present then the underlyingCurrency field in the enclosing structure must be defined.

securityTransfer(SecurityTransfer)

A transfer of securities between two parties.

quantity(decimal)

	The quantity of asset being transfered.
	Total notional quantity.

assetReference(AssetReference)

	The asset being transfered.
	Underlying asset code.

delivererPartyReference(PartyReference)

	Reference to the party delivering the asset.

receiverPartyReference(PartyReference)

	Reference to the party receiving the asset.

settlementInstructionReference(SettlementInstructionReference)

	This is not used in messages to the repository.
	Specifies settlement instruction reference.