Option F:4!c/[8c]/4!c(Qualifier) (Data Source Scheme) (Indicator)| Option F |
:4!c/[8c]/4!c |
(Qualifier) (Data Source Scheme) (Indicator) |
Optional
(Error code(s): T89)
| Order |
M/O |
Qualifier |
R/N |
CR |
Options |
Qualifier Description |
|---|---|---|---|---|---|---|
| 1 |
O |
RERT |
N |
|
F |
Repurchase Rate Type |
| 2 |
O |
MICO |
N |
|
F |
Method of Interest Computation |
| 3 |
O |
REPT |
N |
|
F |
Repurchase Type Indicator |
| Order |
M/O |
Qualifier |
R/N |
CR |
Options |
Qualifier Description |
|---|---|---|---|---|---|---|
| 1 |
O |
RERT |
N |
|
F |
Repurchase Rate Type |
| 2 |
O |
MICO |
N |
|
F |
Method of Interest Computation |
| 3 |
O |
REPT |
N |
C12 |
F |
Repurchase Type Indicator |
This qualified generic field specifies:
| RERT |
Repurchase Rate Type |
Whether the rate is fixed or variable. |
| MICO |
Method of Interest Computation |
Computation method to calculate the interest of the related financial instrument. |
| REPT |
Repurchase Type Indicator |
Indicates the type of repurchase concerned by the transaction. |
If Qualifier is MICO and Data Source Scheme is not present, Indicator must contain one of the following codes (Error code(s): K22):
| A001 |
30/360. Method whereby interest is calculated based on a 30-day month and a 360-day year. If the accrual period ends on a 31st, do not change the date unless the period started on a 30th or 31st, in which case change the end date to 30th. In addition, if the accrual period ends on the last day of February, the month of February should not be extended to a 30 day month. |
| A002 |
30/365. Method whereby interest is calculated based on a 30-day month and a 365-day year. |
| A003 |
30/Actual. Method whereby interest is calculated based on a 30-day month and the assumed number of days in a year, i.e. the actual number of days in the accrual period multiplied by the number of interest payments in the year. Eg, a semi-annual bond (one paying two coupons per year) can display a period between coupons of 181 to 184 days. In this case, the number of days in a year will be 362 to 368 days. |
| A004 |
Actual/360. Method whereby interest is calculated based on the actual number of accrued days and a 360-day year. |
| A005 |
Actual/365. Method whereby interest is calculated based on the actual number of accrued days and a 365-day year. |
| A006 |
Actual/Actual (ISMA). Method whereby interest is calculated based on the actual number of accrued days and the assumed number of days in a year, i.e. the actual number of days in the accrual period multiplied by the number of interest payments in the year. |
| A007 |
30E/360 or Eurobond basis. Method whereby interest is calculated based on a 30-day month (no exceptions, i.e. February should always be extended to a 30-day month) and a 360-day year. |
| A008 |
Actual/Actual (ISDA). Method whereby interest is calculated based on the actual number of accrued days (falling on a normal year) divided by 365, added to the actual number of days (falling on a leap year) divided by 366. |
| A009 |
Actual/Actual (basic rule). Method whereby interest is calculated based on the actual number of accrued days and a 365-day year (if payment date is NOT in a leap year) or a 366-day year (if payment date is in a leap year). |
| A010 |
Actual/Actual (AFB). Method whereby interest is calculated based on the actual number of accrued days and a 366-day year (if 29 Feb falls in the accrual period) or a 365-day year (if 29 Feb does not fall in the accrual period). |
| OTHR |
Other method than A001-A010. See Narrative. |
| A001 |
30/360. |
| A002 |
30/365. |
| A003 |
30/Actual. |
| A004 |
Actual/360. |
| A005 |
Actual/365. |
| A006 |
Actual/Actual or 1/1. |
| A007 |
30E/360 or Eurobond basis. |
| A008 |
Actual/M. |
| A009 |
Actual/365L. |
If Qualifier is RERT and Data Source Scheme is not present, Indicator must contain one of the following codes (Error code(s): K22):
| FIXE |
Fixed |
The repurchase rate is fixed. |
| FORF |
Forfeit |
No specific repurchase rate applies to the Repo, only a forfeit. |
| VARI |
Variable |
The repurchase rate is variable. |
If Data Source Scheme is not present and Qualifier is REPT, Indicator must contain one of the following codes (Error code(s): K22):
| CADJ |
Swap/Substitution |
Relates to a repo collateral substitution. |
| CALL |
Repo Call |
Relates to a change in the closing or maturity date. |
| PAIR |
Pair-off |
Relates to a repo that is part of a pair-off. |
| RATE |
Repo Rate |
Relates to a change in the repo rate. |
| REPC |
Repo closure |
Repurchase relates to the closing leg of the transaction. |
| REPO |
Repo opening |
Relates to the opening leg of a repo. |
| REPE |
Reverse Repo |
Relates to a reverse repo. |
| ROLP |
Rollover |
Relates to a repo rollover of a position extending the closing or maturity date. |
| TOPU |
Top-up |
Relates to a cover of securities position due to deficit of collateral following mark to market valuation. |
| WTHD |
Withdrawal |
Relates to a return of securities position due to excess of collateral following mark to market valuation. |
| CADJ |
Swap/Substitution |
Relates to a repo collateral substitution. |
| CALL |
Repo Call |
Relates to a change in the closing or maturity date. |
| PAIR |
Pair-off |
Relates to a repo that is part of a pair-off. |
| RATE |
Repo Rate |
Relates to a change in the repo rate. |
| REPC |
Repo closure |
Relates to the closing leg of a repo. |
| REPO |
Repo opening |
Relates to the opening leg of a repo. |
| REPE |
Reverse Repo |
Relates to a reverse repo. |
| ROLP |
Rollover |
Relates to a repo rollover of a position extending the closing or maturity date. |
| TOPU |
Top-up |
Relates to a cover of securities position due to deficit of collateral following mark to market valuation. |
| WTHD |
Withdrawal |
Relates to a return of securities position due to excess of collateral following mark to market valuation. |
The modification of a repo instruction (ex: :22F::REPT//RATE) should follow the normal cancel and replace settlement process.
