Repo

A type defining Repo transaction, modeled as an FpML:Product.

Nested view
Tree view

Field	Type	Description	Print form title	FFSM title	Properties	Conditions
primaryAssetClass	AssetClass	A classification of the most important risk class of the trade.	Primary asset class.		0-1, ncf	At the first stage this element is not used in the repository messages.
secondaryAssetClass	AssetClass	A classification of additional risk classes of the trade, if any.	Secondary asset class.		0-∞, ncf	At the first stage this element is not used in the repository messages.
productType	ProductType	A classification of the type of product.	Product type.	Derivative instrument type.	0-∞, mre, mfr	This element is mandatory for NSD messages, except for messages, related to master agreement registration.
productId	ProductId	A product reference identifier. The product ID is an identifier that describes the key economic characteristics of the trade type, with the exception of concepts such as size (notional, quantity, number of units) and price (fixed rate, strike, etc.) that are negotiated for each transaction. It can be used to hold identifiers such as the "UPI" (universal product identifier) required by certain regulatory reporting rules. It can also be used to hold identifiers of benchmark products or product temnplates used by certain trading systems or facilities.	Derivatives classification code.	Classification code of the derivative financial instrument.	0-∞, mre, mfr	Mandatory field for NSD messages, except for messages, related to the registration of master agreements, repo transactions and quarterly representation of trades exercised within 4 working days period. This is used to hold classification codes for derivatives transactions required by FFMS.
embeddedOptionType	EmbeddedOptionType	Describes the type of any embedded optionality in the transaction that might not otherwise be apparent. Can be used to represent embedded optionality such as early termination provisions, extendible provisions, or cancelable provisions, etc., where applicable. If omitted, no embedded optionality is applicable.	Embedded option type.		0-2, ncf	Optional field for NSD repository messages. It is not used in messages, related to the registration of master agreements and quarterly representation of trades exercised within 4 working days period. This is used only if trade terms include embedded option of a type specified in the coding scheme. At the first stage this element is not used in the repository messages.
@id	xsd:ID				1-1
Choice begin
Branch1
fixedRateSchedule	Schedule	The fixed repo rate. It is usually fixed for the duration of the agreement but can be changed with mid-life events (rate changes) except for Buy SellBack trades.	Fixed rate schedule.	Fixed repo rate; Amortization / increase code.	1-1, mre
Branch2
floatingRateCalculation	FloatingRateCalculation	The float index and tenor, with a spread. Use for floating rate repos. Most floatings in Europe are against EONIA.	Floating rate calculation.	Floating repo rate; Amortization / increase code; Cap rate; Floor rate.	1-1, mre
Choice end
dayCountFraction	DayCountFraction	The day count fraction.	Day count fraction.		1-1, mre, mfr
noticePeriod	AdjustableOffset	Notice period for open ended or long dated repos in number of days.	Notice period.		0-1, ncf
duration	RepoDurationEnum	A duration code for the repo contract.	Repo duration type.		1-1, mre, mfr
margin	Margin	The margin, or haircut, that will be applied.	Collateral ratio		0-1, ncf
spotLeg	RepoTransactionLegNsd	A repo contract is modelled as two purchase/repurchase transactions which are called legs. This is the spot leg, i.e. the transaction that will be executed on the settlement date of the contract.	Repo spot leg.		1-1, mre
forwardLeg	ForwardRepoTransactionLegNsd	The forward leg of the repo contract, i.e. the repurchase transaction.	Repo forward leg.		0-1, mre	Conditionally filled element. This is to be included in case of reporting information about repo forward leg except for open repo transaction. In case of open repo transaction this is not supposed to be used.
midLifeEvent	Field must be replaced by one of next elments: cashRepricing, couponEvent, collateralSubstitution, interestPayout, markToMarketEvent, rateChange, rateObservation,				0-∞, ncf
Choice begin
Branch1
Choice begin
Branch1
bond	Bond	Identifies the underlying asset when it is a series or a class of bonds.	Bond.		1-1
Branch2
convertibleBond	ConvertibleBond	Identifies the underlying asset when it is a convertible bond.	Convertible bond.		1-1, ncf	At the first stage this element is not used in the repository messages.
Choice end
Branch2
equity	EquityAsset	An exchange traded equity asset.	Equity.		1-1
Choice end
settlementTransfer	SettlementTransfer	Participants may choose to explicitly specify the different financial exchanges that the product represents. This is the equivalent of the cashflow-explicit representation of an interest rate swap. In this case it is possible to give a transfer-explicit representation of a repo contract for settlement purposes.	Settlement transfers.		0-1, ncf	This is not used in messages to the repository.

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Repo

The type RepoNsd which is inheritor to this type is used in messages to the repository.

productType(ProductType)

	This element is mandatory for NSD messages, except for messages, related to master agreement registration.
	A classification of the type of product.
	Derivative instrument type.

productId(ProductId)

	Mandatory field for NSD messages, except for messages, related to the registration of master agreements, repo transactions and quarterly representation of trades exercised within 4 working days period. This is used to hold classification codes for derivatives transactions required by FFMS.
	A product reference identifier. The product ID is an identifier that describes the key economic characteristics of the trade type, with the exception of concepts such as size (notional, quantity, number of units) and price (fixed rate, strike, etc.) that are negotiated for each transaction. It can be used to hold identifiers such as the "UPI" (universal product identifier) required by certain regulatory reporting rules. It can also be used to hold identifiers of benchmark products or product temnplates used by certain trading systems or facilities.
	Classification code of the derivative financial instrument.

A choice of interest rate.

fixedRateSchedule(Schedule)

	The fixed repo rate. It is usually fixed for the duration of the agreement but can be changed with mid-life events (rate changes) except for Buy SellBack trades.
	Fixed repo rate; Amortization / increase code.

initialValue(decimal)

	The initial rate or amount, as the case may be. An initial rate of 5% would be represented as 0.05.

step(Step)

	The schedule of step date and value pairs. On each step date the associated step value becomes effective. A list of steps may be ordered in the document by ascending step date. An FpML document containing an unordered list of steps is still regarded as a conformant document.

stepDate(date)

	The date on which the associated stepValue becomes effective. This day may be subject to adjustment in accordance with a business day convention.

stepValue(decimal)

	The rate or amount which becomes effective on the associated stepDate. A rate of 5% would be represented as 0.05.

floatingRateCalculation(FloatingRateCalculation)

	The float index and tenor, with a spread. Use for floating rate repos. Most floatings in Europe are against EONIA.
	Floating repo rate; Amortization / increase code; Cap rate; Floor rate.

floatingRateIndex(FloatingRateIndex)

	Defines floating rate index.
	Float rate code.

indexTenor(Period)

The ISDA Designated Maturity, i.e. the tenor of the floating rate.

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;

floatingRateMultiplierSchedule(Schedule)

A rate multiplier or multiplier schedule to apply to the floating rate. A multiplier schedule is expressed as explicit multipliers and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in the calculationPeriodDatesAdjustments. The multiplier can be a positive or negative decimal. This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.

initialValue(decimal)

	The initial rate or amount, as the case may be. An initial rate of 5% would be represented as 0.05.

step(Step)

	The schedule of step date and value pairs. On each step date the associated step value becomes effective. A list of steps may be ordered in the document by ascending step date. An FpML document containing an unordered list of steps is still regarded as a conformant document.

stepDate(date)

	The date on which the associated stepValue becomes effective. This day may be subject to adjustment in accordance with a business day convention.

stepValue(decimal)

	The rate or amount which becomes effective on the associated stepDate. A rate of 5% would be represented as 0.05.

spreadSchedule(SpreadSchedule)

The ISDA Spread or a Spread schedule expressed as explicit spreads and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. The spread is a per annum rate, expressed as a decimal. For purposes of determining a calculation period amount, if positive the spread will be added to the floating rate and if negative the spread will be subtracted from the floating rate. A positive 10 basis point (0.1%) spread would be represented as 0.001.

initialValue(decimal)

	The initial rate or amount, as the case may be. An initial rate of 5% would be represented as 0.05.

step(Step)

	The schedule of step date and value pairs. On each step date the associated step value becomes effective. A list of steps may be ordered in the document by ascending step date. An FpML document containing an unordered list of steps is still regarded as a conformant document.

stepDate(date)

	The date on which the associated stepValue becomes effective. This day may be subject to adjustment in accordance with a business day convention.

stepValue(decimal)

	The rate or amount which becomes effective on the associated stepDate. A rate of 5% would be represented as 0.05.

capRateSchedule(StrikeSchedule)

	The cap rate or cap rate schedule, if any, which applies to the floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain strike level. A cap rate schedule is expressed as explicit cap rates and dates and the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.
	Cap rate.

initialValue(decimal)

	The initial rate or amount, as the case may be. An initial rate of 5% would be represented as 0.05.

step(Step)

	The schedule of step date and value pairs. On each step date the associated step value becomes effective. A list of steps may be ordered in the document by ascending step date. An FpML document containing an unordered list of steps is still regarded as a conformant document.

stepDate(date)

	The date on which the associated stepValue becomes effective. This day may be subject to adjustment in accordance with a business day convention.

stepValue(decimal)

	The rate or amount which becomes effective on the associated stepDate. A rate of 5% would be represented as 0.05.

floorRateSchedule(StrikeSchedule)

	The floor rate or floor rate schedule, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. A floor rate schedule is expressed as explicit floor rates and dates and the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.
	Floor rate.

initialValue(decimal)

	The initial rate or amount, as the case may be. An initial rate of 5% would be represented as 0.05.

step(Step)

	The schedule of step date and value pairs. On each step date the associated step value becomes effective. A list of steps may be ordered in the document by ascending step date. An FpML document containing an unordered list of steps is still regarded as a conformant document.

stepDate(date)

	The date on which the associated stepValue becomes effective. This day may be subject to adjustment in accordance with a business day convention.

stepValue(decimal)

	The rate or amount which becomes effective on the associated stepDate. A rate of 5% would be represented as 0.05.

initialRate(decimal)

The initial floating rate reset agreed between the principal parties involved in the trade. This is assumed to be the first required reset rate for the first regular calculation period. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. An initial rate of 5% would be represented as 0.05.

dayCountFraction(DayCountFraction)

	The day count fraction.

duration(RepoDurationEnum)

	A duration code for the repo contract.
	Overnight;Term;Open;

spotLeg(RepoTransactionLegNsd)

	A repo contract is modelled as two purchase/repurchase transactions which are called legs. This is the spot leg, i.e. the transaction that will be executed on the settlement date of the contract.

buyerPartyReference(PartyReference)

	A reference to the party that buys this instrument, ie. pays for this instrument and receives the rights defined by it. See 2000 ISDA definitions Article 11.1 (b). In the case of FRAs this the fixed rate payer.
	Party code.

sellerPartyReference(PartyReference)

	A reference to the party that sells ("writes") this instrument, i.e. that grants the rights defined by this instrument and in return receives a payment for it. See 2000 ISDA definitions Article 11.1 (a). In the case of FRAs this is the floating rate payer.
	Party code.

settlementDate(AdjustableOrRelativeDate)

	The relativeDate element is not used in trade terms reporting messages to the repository. The adjustableDate element is only used in messages to the repository.
	Settlement Date.

A choice of the date specification.

adjustableDate(AdjustableDate)

	Conditionally filled element. This is to be included in case of reporting information about explicit adjustable dates. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	A date that shall be subject to adjustment if it would otherwise fall on a day that is not a business day in the specified business centers, together with the convention for adjusting the date.

unadjustedDate(IdentifiedDate)

	A date subject to adjustment.

A choice of settlement amount and settlement currency.

settlementAmount(Money)

	Defines settlement amount to the trade.

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.

settlementCurrency(Currency)

	Settlement Currency for use where the Settlement Amount cannot be known in advance.

collateral(CollateralValuationNsd)

	This element is mandatory for the spot leg of the repo transaction.
	Collateral valuation is used to carry the quantity and price details that are required to ensure that a repo contract is executed at fair value, with the value of the collateral matching the cash amount of the repo. Collateral is declared as optional here, with multiple cardinalities, since we can do a repo "Multi", with multiple instruments specified, or a "Cash Borrow/Loan" and “TriPartyRepo” with no collateral. In general cases, however it should be specified.

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.

deliveryMethod(DeliveryMethodEnum)

	Specifies delivery method. Includes such values as delivery versus payment, free of payment, etc.
	DeliveryVersusPayment;FreeOfPayment;

deliveryDate(AdjustableOrRelativeDate)

	The relativeDate element is not used in trade terms reporting messages to the repository. The adjustableDate element is only used in messages to the repository.
	Scheduled date of delivery on the given leg of repo transaction. It is not required to be included if this is equal to the date of settlement on the given leg of repo transaction.
	Purchase date/period; Repurchase date/period.

A choice of the date specification.

adjustableDate(AdjustableDate)

	Conditionally filled element. This is to be included in case of reporting information about explicit adjustable dates. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	A date that shall be subject to adjustment if it would otherwise fall on a day that is not a business day in the specified business centers, together with the convention for adjusting the date.

unadjustedDate(IdentifiedDate)

	A date subject to adjustment.

forwardLeg(ForwardRepoTransactionLegNsd)

	Conditionally filled element. This is to be included in case of reporting information about repo forward leg except for open repo transaction. In case of open repo transaction this is not supposed to be used.
	The forward leg of the repo contract, i.e. the repurchase transaction.

buyerPartyReference(PartyReference)

	A reference to the party that buys this instrument, ie. pays for this instrument and receives the rights defined by it. See 2000 ISDA definitions Article 11.1 (b). In the case of FRAs this the fixed rate payer.
	Party code.

sellerPartyReference(PartyReference)

	A reference to the party that sells ("writes") this instrument, i.e. that grants the rights defined by this instrument and in return receives a payment for it. See 2000 ISDA definitions Article 11.1 (a). In the case of FRAs this is the floating rate payer.
	Party code.

settlementDate(AdjustableOrRelativeDate)

	The relativeDate element is not used in trade terms reporting messages to the repository. The adjustableDate element is only used in messages to the repository.
	Settlement Date.

A choice of the date specification.

adjustableDate(AdjustableDate)

	Conditionally filled element. This is to be included in case of reporting information about explicit adjustable dates. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	A date that shall be subject to adjustment if it would otherwise fall on a day that is not a business day in the specified business centers, together with the convention for adjusting the date.

unadjustedDate(IdentifiedDate)

	A date subject to adjustment.

A choice of settlement amount and settlement currency.

settlementAmount(Money)

	Defines settlement amount to the trade.

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.

settlementCurrency(Currency)

	Settlement Currency for use where the Settlement Amount cannot be known in advance.

collateral(CollateralValuationNsd)

	This element is mandatory for the spot leg of the repo transaction.
	Collateral valuation is used to carry the quantity and price details that are required to ensure that a repo contract is executed at fair value, with the value of the collateral matching the cash amount of the repo. Collateral is declared as optional here, with multiple cardinalities, since we can do a repo "Multi", with multiple instruments specified, or a "Cash Borrow/Loan" and “TriPartyRepo” with no collateral. In general cases, however it should be specified.

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.

repoInterest(decimal)

The repo interest is basically the difference between the settlement amounts at spot and forward date. It is a fully figured amount, but it does not have to be specified in the message. It is not a 'Money' amount as it is implicitly expressed in the settlement currency.

deliveryMethod(DeliveryMethodEnum)

	Specifies delivery method. Includes such values as delivery versus payment, free of payment, etc.
	DeliveryVersusPayment;FreeOfPayment;

deliveryDate(AdjustableOrRelativeDate)

	The relativeDate element is not used in trade terms reporting messages to the repository. The adjustableDate element is only used in messages to the repository.
	Scheduled date of delivery on the given leg of repo transaction. It is not required to be included if this is equal to the date of settlement on the given leg of repo transaction.
	Purchase date/period; Repurchase date/period.

A choice of the date specification.

adjustableDate(AdjustableDate)

	Conditionally filled element. This is to be included in case of reporting information about explicit adjustable dates. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	A date that shall be subject to adjustment if it would otherwise fall on a day that is not a business day in the specified business centers, together with the convention for adjusting the date.

unadjustedDate(IdentifiedDate)

	A date subject to adjustment.

Financial instrument of repo transaction

equity(EquityAsset)

	An exchange traded equity asset.

instrumentId(InstrumentId)

	Identification of the underlying asset, using public and/or private identifiers.
	Underlying asset code.

description(string)

Long name of the underlying asset.

Group

A choice of the bond type.

bond(Bond)

	Identifies the underlying asset when it is a series or a class of bonds.

instrumentId(InstrumentId)

	Identification of the underlying asset, using public and/or private identifiers.
	Underlying asset code.

description(string)

Long name of the underlying asset.