NSD’s trade repository messages specifications

Current specification

RateObservationEvent

A rate observation is used only when a Repo is done against an index (typically EONIA repos) and we want to record the observed rates during the lifetime of the trade. This is similar in structure to a rate change, but the application context is different. A rate observation has no cash or security movement attached, so there is no transfer structure here. Rate observations are required on floating rate repos to calculate the accrued repo interest.

FieldTypeDescriptionPrint form titleFFSM titlePropertiesConditions
eventDateIdentifiedDateThe date the event has been recorded.Event date.1-1, mfr
ratexsd:decimal1-1
RateObservationEvent