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Project to support the implementation a of smart derivative contract.
An adjustable offset can be used to specify a number of days, business or
calendar, for example in a notice period.
This type is used in Repo trades, to specify the valuation of a specific
piece of collateral in the transaction.
When the instrument being used in a transaction is a bond, the
group above should be used to properly value the instrument, in terms of price, accruals and
notional.
When the instrument being used in a transaction is an equity,
or any contract traded in units, this group should be used to define the quantity, price and
valuation of the instrument.
A reference to explicitly identify which asset is being valued.
Specifies delivery methods for securities transactions. This coding-scheme
defines the possible delivery methods for securities.
Defines initial margin applied to a repo transaction. Initial margin is an
agreed premium to the Purchase Price of a repo to determine the required Market Value of the collateral
to be delivered on the Purchase Date. It reflects quality of the collateral. Its aim is to calculate the
risk-adjusted or liquidation value of collateral.
An element defining the type of assets (cash or securities)
specified to apply as margin to the repo transaction. See GMRA 2011 paragraph 2(h) for "Cash
Margin" and GMRA 2011 paragraph 2(cc) for "Margin Securities".
Initial margin calculation for a collateral asset. Initial margin
requirements may be specified for multiple pieces of collateral.
An element defining a margin threshold which is the Net Exposure of
a trade below which parties agree they will not call a margin from each other.
An element defining a minimum transfer amount which is the minimum
margin call parties will make once the margin threshold (or margin ratio threshold / haircut
threshold) has been exceeded.
Defines the initial margin calculation applicable to a single piece of
collateral.
A choice between initial margin ratio and haircut.
An element defining an initial margin expressed as a ratio
of the Market Value of the collateral to the Purchase Price. A default value of initial
margin ratio of 1.00 means there is no margin and thus no risk related with the
collateral. See GMRA 2000 paragraph 2(z) and GMRA 2011 paragraph 2(bb).
An element defining a margin ratio threshold which is the
value above (when it's lower than initial margin ratio) or below (when it's higher than
initial margin ratio) which parties agree they will not call a margin from each other.
An element defining a haircut expressed as the percentage
difference between the Market Value of the collateral and the Purchase Price of the repo
and calculated as 100 multiplied by a ratio of the difference between the Market Value
of the collateral and the Purchase Price of the repo to the Market Value of the
collateral. Haircut is alternative way to adjust the value of collateral sold in a
repurchase agreement to initial margin ratio. Because an initial margin is a percentage
of the Purchase Price, while a haircut is a percentage of the Market Value of
collateral, the arithmetic of initial margins and haircuts is slightly different. For
example, an initial margin of 102% is not equivalent to a haircut of 2%, but to 1.961%
(ie 100/102%). See GMRA 2011 paragraph 2(aa).
An element defining a haircut percentage threshold which is
the value above (when it's lower than initial haircut) or below (when it's higher than
initial haircut) which parties agree they will not call a margin from each other.
A reference to the collateral asset to which the margin requirement
applies. This element should be produced in the case where margin requirements are specified for
multiple pieces of collateral, and may be omitted otherwise.
A type to represent agreed period of notice to be given in advance before
exercise of the open repo trade by a party requesting such exercise and reference to that party.
A reference to a party who has the right to request exercise of the
open repo trade and for whom noticePeriod is defined.
Notice period for open repo transactions in number of days. This
element represents agreed period of notice to be given in advance before exercise of the repo
trade by a party requesting such exercise.
A type which represents Pricing relative to a Benchmark.
Basis Point spread over a Benchmark.
The benchmark being referred to; either a bond or equity product.
A Repo, modeled as an FpML:Product. Note: this Repo model is a candidate
model for further industry input.
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 sell/buy-back trades.
The floating rate index and tenor, with additional
definitions relating to the calculation of floating rate amounts, including spread
and multiplier. It is used for floating rate repos. For example, floating rate repos
on European markets are made against EONIA.
The day count fraction.
A duration code for the repo transaction. This defines
a type of a repo transaction with fixed duration.
A party to the open repo transaction that has a
right to demand for exercise of far leg of the open repo transaction. This
element represents an enumerated list that includes InitialBuyer, InitialSeller,
Either, AsDefinedInMasterAgreement. In the default case either party can call
for closing open repo transaction, unless otherwise specified. If electing
parties are not defined in open repo confirmation, when they are defined by
default in the Master Agreement, AsDefinedInMasterAgreement value should be
used. Exact buyer/seller related parties, including any third parties who can
demand exercise of open repo transactions on behalf of the parties to the trade
(calculation agent, executing broker, etc.), can be defined in the relatedParty
element (tradeHeader/partyTradeInformation).
Defines the latest date when the open repo
transaction can be exercised (and no later than which it must be exercised) on
demand by a party to the trade indicated in the electingParty element (or in the
Master Agreement, if the electingParty element has AsDefinedInMasterAgreement
value). For instance, in the open repo transaction with callDate agreed as
business day one year after the trade date far leg can be settled on any day
after the near leg settlement date and before and including the callDate. If the
call date is not defined in trade terms and / or not included into trade
confirmation this element can be omitted.
Notice period for open repo transactions in
number of days. This element represents agreed period of notice to be given
in advance before exercise of the repo trade by a party requesting such
exercise.
Notice period for open repo transactions
referenced to a party to the trade, in number of days. This element
represents agreed period of notice to be given in advance before exercise of
the repo trade by a party requesting such exercise and reference to that
party.
Defines initial margin applied to a repo transaction.
A repo contract is modeled as two purchase/repurchase
transactions which are called legs. This is the near leg, i.e. the transaction that will
be executed on the near settlement date of the contract.
The far leg of the repo contract, i.e. the repurchase
transaction. The BuyerSeller model in the far leg must be the exact opposite of the one
found in the near leg.
A list of the financial instruments that the repo
contract may reference.
A transaction leg for a repo is equivalent to a single cash transaction. It
is augmented here to carry some values that are of interest for the repo. Also note that the BuyerSeller
model in this transaction must be the exact opposite of the one found in the near leg.
Settlement amount of the securities transaction. When the
exact financial amount to the transaction is not known (for instance in far leg of a
floating rate repo), this structure allows participants to state the currency of the
transaction.
Indicates the rate of a currency conversion that is used to
compute settlement amount for cross-currency transactions.
Specifies a delivery method for the security
transaction.
Delivery Date for the transaction. Delivery Date can be
populated when it is not equal to the Settlement Date.
Collateral element 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 there
can be 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. This element can be omitted in farLeg.
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.
A transaction leg for a repo is equivalent to a single cash transaction. It
is augmented here to carry some values that are of interest for the repo. Also note that the BuyerSeller
model in this transaction must be the exact opposite of the one found in the near leg.
References to the buyer and the seller of this leg of the
repo contract.
Settlement or Payment Date for the transaction.
A transaction leg for a repo is equivalent to a single cash transaction.
Settlement Amount
Indicates the rate of a currency conversion that is used to
compute settlement amount for cross-currency transactions.
Specifies a delivery method for the security
transaction.
Delivery Date for the transaction. Delivery Date can be
populated when it is not equal to the Settlement Date.
Collateral element 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 there
can be 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. This element can be omitted in farLeg.
The tri-party terms.
The reference to the tri-party agent.
The collateral profile specified at the tri-party agent.
The collateral type, which is a restriction of the collateral
deemed acceptable for the purpose of the transaction.
Global element representing a Repo.
A group which has Collateral elements.
Total nominal amount of the given bonds used as collateral.
A model describing price of the given bonds used as collateral.
Accruals expressed as amount.
A model group that allows us to specify that a repo contract can reference
bond or equity instruments.
Most repos are done using Bonds and Bond subclasses as collateral.
However in some jurisdictions repos on equities are widely used. It is technically possible to
execute a repo on an equity, as long as the mark to market is correctly done during the lifetime of
the repo.
A bond, or bond subtype referenced by a repo contract.
An equity referenced by a repo contract.
A group which has either Bond Price or Yield elements.
These elements express a price in terms of percentage of nominal
amount.
One of cleanPrice or dirtyPrice must exist.
Bond clean price, expressed in percentage points, 100 is
the initial value of the bond.
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.
Bond dirty price, expressed in percentage points, 100 is
the initial value of the bond.
Bond dirty price, expressed in percentage points, 100 is the
initial value of the bond.
Bond price relative to a Benchmark.
Yield to Maturity.
The inflation factor is specified for inflation-linked products
which require some additional elements to calculate prices correctly.
Bond all-in-price which is a price that includes all relevant price
adjustments (i.e. accrued interest, haircut or margin ratio, inflation factor,etc.). It
expresses a price in terms of percentage of nominal amount.
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