CollateralValuationNsd

A type for defining collateral valuation. This type is used in Repo trades, to specify the valuation of a specific piece of collateral in the transaction. This type is extended from the CollateralValuation type by adding the securityHaircut element which defines a haircut applicable to a given collateral constituent in the transaction.

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Field	Type	Description	Print form title	FFSM title	Properties	Conditions
Choice begin
Branch1
nominalAmount	Money	Defines collateral nominal amount.	Collateral nominal amount.		1-1, mre
cleanPrice	xsd:decimal	Bond clean price, expressed in percentage points, 100 is the initial value of the bond.	Bond clean price.		1-1, mre, mfr, afr
accruals	xsd: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.	Accruals.		0-1, mfr
dirtyPrice	xsd:decimal	Bond dirty price, expressed in percentage points, 100 is the initial value of the bond.	Bond dirty price.		0-1, afr
relativePrice	RelativePrice	Bond price relative to a Benchmark.	Relative price.		0-1, ncf	This is not used in messages to the repository.
yieldToMaturity	xsd:decimal	Defines Yield to Maturity.	Yield to Maturity.		0-1, ncf	This is not used in messages to the repository.
inflationFactor	xsd:decimal	The inflation factor is specified for inflation-linked products which require some additional elements to calculate prices correctly.	Inflation factor.		0-1, ncf	This is not used in messages to the repository.
interestStartDate	AdjustableOrRelativeDate	Start date for interest calculations.	Interest start date.		0-1, ncf	This is not used in messages to the repository.
pool	AssetPool	Characterise an asset pool, such as the MBS pool on a collateralised repo.	Asset pool.		0-1, ncf	This is not used in messages to the repository.
Branch2
numberOfUnits	xsd:decimal	The number of units (index or securities).	Number of units.		1-1, mre, mfr
unitPrice	Money	The price of each unit.	Unit price.		1-1, mre
Choice end
assetReference	AssetReference	A reference to explicitly identify which asset is being valued.	Asset reference.		1-1, mre, mfr	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.
securityHaircut	SecurityHaircut	Defines haircut of the security in the repo basket.	Security haircut.		0-1

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CollateralValuationNsd

This type which is inheritor to the type CollateralValuation is used in messages to the repository.

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.