NSD’s trade repository messages specifications
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Field
Type
Description
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FFSM title
Properties
Conditions
determinationMethod
DeterminationMethod
0-1
relativeDate
RelativeDateOffset
0-1
fxSpotRateSource
FxSpotRateSource
0-1
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determinationMethod
(DeterminationMethod)
relativeDate
(RelativeDateOffset)
periodMultiplier
(integer)
A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days.
period
(PeriodEnum)
A time period, e.g. a day, week, month or year of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).
D;W;M;Y;
dayType
(DayTypeEnum)
In the case of an offset specified as a number of days, this element defines whether consideration is given as to whether a day is a good business day or not. If a day type of business days is specified then non-business days are ignored when calculating the offset. The financial business centers to use for determination of business days are implied by the context in which this element is used. This element must only be included when the offset is specified as a number of days. If the offset is zero days then the dayType element should not be included.
Business;Calendar;CommodityBusiness;CurrencyBusiness;ExchangeBusiness;ScheduledTradingDay;
businessDayConvention
(BusinessDayConventionEnum)
The convention for adjusting a date if it would otherwise fall on a day that is not a business day.
FOLLOWING;FRN;MODFOLLOWING;PRECEDING;MODPRECEDING;NEAREST;NONE;NotApplicable;
A choice of the method of specifying financial business centers.
businessCenters
(BusinessCenters)
Financial business centers.
businessCenter
(BusinessCenter)
Financial business center.
adjustedDate
(IdentifiedDate)
The date once the adjustment has been performed. (Note that this date may change if the business center holidays change).
fxSpotRateSource
(FxSpotRateSource)
primaryRateSource
(InformationSource)
The primary source for where the rate observation will occur. Will typically be either a page or a reference bank published rate.
Code of price source.
rateSource
(InformationProvider)
An information source for obtaining a market rate. For example Bloomberg, Reuters, Telerate etc.