NSD’s trade repository messages specifications

Current specification

Price Quote Units

ValueSourceDescription
AllowancesFpMLEnvironmental allowance certificates.
AmountFpMLA numerical amount (typically a currency amount), expressed as a decimal value.
BasisPointsFpMLA value expressed in terms of one hundredths of a percent, i.e. 5 means 5 basis points (bp) or 0.05%.
BasisPointValueFpMLThe value (expressed in currency units) per basis point change in the underlying rate. Typically used for expressing sensitivity to interest rate chages ("IR delta" risk, "rho" risk).
BasisPointValuePerBasisPointFpMLThe Basis Point Value (BPV) (expressed in currency units per basis point) per basis point change in the underlying rate. Typically used for expressing second order sensitivity to interest rate changes (IR "gamma" risk, "convexity").
BBLFpMLBarrel.
BCFFpMLBillion cubic feet.
BSHFpMLBushel - When associated with a specific commodity, e.g. Barley, implies standard unit of weight, in this case 48 lb or 21.7725 kg.
BTUFpMLBritish Thermal Unit.
CDDFpMLCooling Degree Day.
CPDFpMLCritical Precipitation Day.
dagFpML10 grams. Used in precious metals contracts (e.g MCX).
DayFpMLDay (commonly used in Time Charter trades).
DiscountFpMLA discount factor expressed as a decimal, e.g. 0.95.
dmtuFpMLDry Metric Ton (Tonne) Units – Consists of a metric ton of mass excluding moisture.
DTHFpMLDekatherm.
ExchangeRateFpMLA dimensionless conversion rate, e.g. 1.2. Typically used for FX.
FEUFpML40 ft. Equivalent Unit container.
GALFpMLGallon.
GJFpMLGigajoule.
GWFpMLGigawatt.
GWhFpMLGigawatt-hour.
HDDFpMLHeating Degree Day.
hLFpMLHectolitre.
IndexUnitsFpMLA price, expressed in index units.
IngotFpMLIngot.
IRFuturesPriceFpMLA IMM futures style price, e.g. 9750 is equivalent to 2.5%.
KGFpMLKilogram.
kLFpMLKilolitre.
KWFpMLKilowatt.
KWhFpMLKilowatt-hour.
LFpMLLitre.
LBFpMLPound.
LogNormalVolatilityFpMLA log normal volatility, expressed in %/month, where the percentage is represented as a decimal. For example, 0.15 means a log-normal volatility of 15% per month.
MBFpMLThousand Barrels (BBL).
MBFFpMLThousand board feet. Used in contracts on forestry underlyers.
MJFpMLMegajoule.
MMBFFpMLMillion board feet. Used in contracts on forestry underlyers.
MMBTUFpMLMillion British Thermal Units.
msfFpMLThousand (1,000) square feet.
MTFpMLMetric Tonne.
MWFpMLMegawatt.
MWhFpMLMegawatt-hour.
oztFpMLTroy Ounce.
ParValueDecimalFpMLA price, expressed in percentage of face value as a decimal, e.g. 101.5.
ParValueFractionFpMLA price, expressed in percentage of face value with fractions, e.g. 101 3/8. Normally used for quoting bonds.
PercentageFpMLA percentage values expressed as a decimal, i.e. 0.05 means 5%.
PriceFpMLA price, expressed in currency units.
RateFpMLA yield (typically an interest rate) expressed as a decimal. I.e. 0.05 means 5%.
SharesFpMLThe number of units of stock. Typically used for expressing sensitivity to equity prices (equity "delta" risk).
SpreadFpMLA difference in rates or prices expressed as a decimal. I.e. 0.05 means 5%.
stFpMLShort Ton.
stFpMLShort Ton.
tFpML(Long) Ton.
TEUFpML20 ft. Equivalent Unit container.
ThermFpMLTherm.
UpfrontPointsFpMLA difference in rates (typically FX rates) expressed as a decimal value.
ValuePerDayFpMLThe value (expressed in currency units) for a one day change in a valuation date. Typically used for expressing sensitivity to the passage of time ("theta" risk, "carry", etc.).
ValuePerPercentFpMLThe value (expressed in currency units) per percent change in the underlying rate. Typically used for expressing sensitivity to volatility changes ("vega" risk).
TemperatureNSDTemperature.
gramNSDGram.
CBMNSDCubic meter.