complexType "InitialMargin"
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XML Representation Summary |
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Content Model Elements (4):
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All Direct / Indirect Based Elements (1):
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Annotation
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.
XML Source (w/o annotations (5); see within schema source)
<xsd:sequence>
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</xsd:complexType>
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Content Element Detail (all declarations; defined within this component only; 4/4)
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Initial margin calculation for a collateral asset. Initial margin requirements may be specified for multiple pieces of collateral.
XML Source (w/o annotations (1); see within schema source)
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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.
XML Source (w/o annotations (1); see within schema source)
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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".
Simple Content
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"Cash" |
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When the margin type is Cash, the margin factor is applied to the cash value of the transaction.
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"Instrument" |
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When the margin type is Instrument, the margin factor is applied to the instrument value for the transaction. In the “instrument” case, the haircut would be applied to the securities.
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XML Source (w/o annotations (1); see within schema source)
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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.
XML Source (w/o annotations (1); see within schema source)
