complexType "InitialMargin"
Namespace:
http://www.fpml.org/FpML-5/confirmation
Content:
complex, 7 elements
Defined:
globally in fpml-repo-5-8.xsd; see XML source
Includes:
definitions of 7 elements
Used:
at 1 location
Content Model Diagram
XML Representation Summary
<...>
   
Content: 
</...>
Content Model Elements (7):
haircut, haircutThreshold, marginRatio, marginRatioThreshold, marginThreshold, marginType, minimumTransferAmount
All Direct / Indirect Based Elements (1):
initialMargin
Known Usage Locations
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 (8); see within schema source)
<xsd:complexType name="InitialMargin">
<xsd:sequence>
<xsd:element name="marginType" type="MarginTypeEnum"/>
<!--09-29-2014: SecWG: agreed to a choice of initialMarginRatio (renamed from marginFactor) and haircut-->
<xsd:choice>
<!--11-10-2014: SecWG: agreed to grouping of "initialMarginRatio" and "marginRatioThreshold" -->
<xsd:sequence>
<!--11-24-2014: SecWG: reverted back the renaming "initialMarginRatio” from marginRatio. The currently agreed name of the element - marginRatio-->
<xsd:element name="marginRatio" type="xsd:decimal"/>
<xsd:element maxOccurs="2" minOccurs="0" name="marginRatioThreshold" type="xsd:decimal"/>
</xsd:sequence>
<!--11-10-2014: SecWG: agreed to grouping of "haircutPercentage" and "haircutThreshold" -->
<xsd:sequence>
<xsd:element name="haircut" type="xsd:decimal"/>
<xsd:element maxOccurs="2" minOccurs="0" name="haircutThreshold" type="xsd:decimal"/>
</xsd:sequence>
</xsd:choice>
<!--09-29-2014: SecWG agreed agreed on the substance of this model, but model might be refined later own to give the control over the elements to the schema -->
<!--09-29-2014: SecWG agreed to remove container margin call details-->
<xsd:element minOccurs="0" name="marginThreshold" type="NonNegativeMoney"/>
<xsd:element minOccurs="0" name="minimumTransferAmount" type="NonNegativeMoney"/>
</xsd:sequence>
</xsd:complexType>
Content Element Detail (all declarations; defined within this component only; 7/7)
haircut
Type:
xsd:decimal, predefined, simple content
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%).
XML Source (w/o annotations (1); see within schema source)
<xsd:element name="haircut" type="xsd:decimal"/>
haircutThreshold
Type:
xsd:decimal, predefined, simple content
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.
XML Source (w/o annotations (1); see within schema source)
<xsd:element maxOccurs="2" minOccurs="0" name="haircutThreshold" type="xsd:decimal"/>
marginRatio
Type:
xsd:decimal, predefined, simple content
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.
XML Source (w/o annotations (1); see within schema source)
<xsd:element name="marginRatio" type="xsd:decimal"/>
marginRatioThreshold
Type:
xsd:decimal, predefined, simple content
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.
XML Source (w/o annotations (1); see within schema source)
<xsd:element maxOccurs="2" minOccurs="0" name="marginRatioThreshold" type="xsd:decimal"/>
marginThreshold
Type:
NonNegativeMoney, complex content
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)
<xsd:element minOccurs="0" name="marginThreshold" type="NonNegativeMoney"/>
marginType
Type:
MarginTypeEnum, simple content
An element defining the type of assets (cash or securities) specified to apply as margin to the repo transaction.
Simple Content
enumeration of xsd:token
Enumeration:
"Cash"
 - 
When the margin type is Cash, the margin factor is applied to the cash value of the transaction.
"Instrument"
 - 
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.
XML Source (w/o annotations (1); see within schema source)
<xsd:element name="marginType" type="MarginTypeEnum"/>
minimumTransferAmount
Type:
NonNegativeMoney, complex content
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)
<xsd:element minOccurs="0" name="minimumTransferAmount" type="NonNegativeMoney"/>
XML schema documentation generated with DocFlex/XML 1.9.0 using DocFlex/XML XSDDoc 2.8.0 template set. All content model diagrams generated by Altova XMLSpy via DocFlex/XML XMLSpy Integration.