schemas.fpml-schemas.fpml-cd-5-9.xsd Maven / Gradle / Ivy
An additional Fixed Payment Event. Corresponds to the payment by or
on behalf of the Issuer of an actual interest amount in respect to the reference obligation that
is greater than the expected interest amount. ISDA 2003 Term: Interest Shortfall Reimbursement.
An additional Fixed Payment Event. Corresponds to the payment by or
on behalf of the Issuer of an actual principal amount in respect to the reference obligation
that is greater than the expected principal amount. ISDA 2003 Term: Principal Shortfall
Reimbursement.
An Additional Fixed Payment. Corresponds to the payment by or on
behalf of the issuer of an amount in respect to the reference obligation in reduction of the
prior writedowns. ISDA 2003 Term: Writedown Reimbursement.
The adjusted payment date. This date should already be adjusted for
any applicable business day convention. This component is not intended for use in trade
confirmation but my be specified to allow the fee structure to also serve as a cashflow type
component (all dates the the Cashflows type are adjusted payment dates).
The currency amount of the payment.
CDS Basket Reference Information
Reuses the group that specifies a name and an identifier for a
given basket.
This element contains all the reference pool items to define the
reference entity and reference obligation(s) in the basket
N th reference obligation to default triggers payout.
M th reference obligation to default to allow
representation of N th to M th defaults.
This element contains CDS tranche terms.
A schedule of step date and value pairs. On each step date
the associated step value becomes effective. A list of steps may be ordered in the
document by ascending step date. An FpML document containing an unordered list of steps
is still regarded as a conformant document.
The number of business days after conditions to settlement
have been satisfied when the calculation agent obtains a price quotation on the
Reference Obligation for purposes of cash settlement. There may be one or more valuation
dates. This is typically specified if the cash settlement amount is not a fixed amount.
ISDA 2003 Term: Valuation Date
The time of day in the specified business center when the
calculation agent seeks quotations for an amount of the reference obligation for
purposes of cash settlement. ISDA 2003 Term: Valuation Time
The type of price quotations to be requested from dealers
when determining the market value of the reference obligation for purposes of cash
settlement. For example, Bid, Offer or Mid-market. ISDA 2003 Term: Quotation Method
In the determination of a cash settlement amount, if
weighted average quotations are to be obtained, the quotation amount specifies an upper
limit to the outstanding principal balance of the reference obligation for which the
quote should be obtained. If not specified, the ISDA definitions provide for a fallback
amount equal to the floating rate payer calculation amount. ISDA 2003 Term: Quotation
Amount
In the determination of a cash settlement amount, if
weighted average quotations are to be obtained, the minimum quotation amount specifies a
minimum intended threshold amount of outstanding principal balance of the reference
obligation for which the quote should be obtained. If not specified, the ISDA
definitions provide for a fallback amount of the lower of either USD 1,000,000 (or its
equivalent in the relevant obligation currency) or the quotation amount. ISDA 2003 Term:
Minimum Quotation Amount
A dealer from whom quotations are obtained by the
calculation agent on the reference obligation for purposes of cash settlement. ISDA 2003
Term: Dealer
The number of business days used in the determination of
the cash settlement payment date. If a cash settlement amount is specified, the cash
settlement payment date will be this number of business days following the calculation
of the final price. If a cash settlement amount is not specified, the cash settlement
payment date will be this number of business days after all conditions to settlement are
satisfied. ISDA 2003 Term: Cash Settlement Date
Used for Recovery Lock, to indicate whether fixed
Settlement is Applicable or Not Applicable. If Buyer fails to deliver an effective
Notice of Physical Settlement on or before the Buyer NOPS Cut-off Date, and If Seller
fails to deliver an effective Seller NOPS on or before the Seller NOPS Cut-off Date,
then either: (a) if Fixed Settlement is specified in the related Confirmation as not
applicable, then the Seller NOPS Cut-off Date shall be the Termination Date; or (b) if
Fixed Settlement is specified in the related Confirmation as applicable, then: (i) if
the Fixed Settlement Amount is a positive number, Seller shall, subject to Section 3.1
(except for the requirement of satisfaction of the Notice of Physical Settlement
Condition to Settlement), pay the Fixed Settlement Amount to Buyer on the Fixed
Settlement Payment Date; and (ii) if the Fixed Settlement Amount is a negative number,
Buyer shall, subject to Section 3.1 (except for the requirement of satisfaction of the
Notice of Physical Settlement Condition to Settlement), pay the absolute value of the
Fixed Settlement Amount to Seller on the Fixed Settlement Payment Date.
Indicates whether accrued interest is included (true) or
not (false). For cash settlement this specifies whether quotations should be obtained
inclusive or not of accrued interest. For physical settlement this specifies whether the
buyer should deliver the obligation with an outstanding principal balance that includes
or excludes accrued interest. ISDA 2003 Term: Include/Exclude Accrued Interest
The ISDA defined methodology for determining the final
price of the reference obligation for purposes of cash settlement. (ISDA 2003 Term:
Valuation Method). For example, Market, Highest etc.
This element contains all the data that appears in the
section entitled "1. General Terms" in the 2003 ISDA Credit Derivatives Confirmation.
This element contains all the terms relevant to defining
the fixed amounts/payments per the applicable ISDA definitions.
This element contains all the terms relevant to defining
the applicable floating rate payer calculation amount, credit events and associated
conditions to settlement, and reference obligations.
This element contains all the ISDA terms relevant to
cash settlement for when cash settlement is applicable. ISDA 2003 Term: Cash
Settlement
This element contains all the ISDA terms relevant to
physical settlement for when physical settlement is applicable. ISDA 2003 Term:
Physical Settlement
A complex type to support the credit default swap option.
Specifies any instructions on how the physical settlement
is to be effected when the option is exercised.
Specifies the strike of the option on credit default
swap.
A complex type to specify the strike of a credit swaption or a credit
default swap option.
The strike of a credit default swap option or credit swaption when
expressed as a spread per annum.
The strike of a credit default swap option or credit swaption when
expressed as in reference to the price of the underlying obligation(s) or index.
The strike of a credit default swap option or credit swaption when
expressed in reference to the spread of the underlying swap (typical practice in the case of
single name swaps).
Indicates whether accrued interest is included (true) or not
(false). For cash settlement this specifies whether quotations should be obtained inclusive or
not of accrued interest. For physical settlement this specifies whether the buyer should deliver
the obligation with an outstanding principal balance that includes or excludes accrued interest.
ISDA 2003 Term: Include/Exclude Accrued Interest
Used in both obligations and deliverable obligations to represent a
class or type of securities which apply. ISDA 2003 Term: Obligation Category/Deliverable
Obligation Category
An obligation and deliverable obligation characteristic. An
obligation that ranks at least equal with the most senior Reference Obligation in priority of
payment or, if no Reference Obligation is specified in the related Confirmation, the obligations
of the Reference Entity that are senior. ISDA 2003 Term: Not Subordinated
An obligation and deliverable obligation characteristic. The
currency or currencies in which an obligation or deliverable obligation must be payable. ISDA
2003 Term: Specified Currency
An obligation and deliverable obligation characteristic. Any
obligation that is not primarily (majority) owed to a Sovereign or Supranational Organization.
ISDA 2003 Term: Not Sovereign Lender
An obligation and deliverable obligation characteristic. Any
obligation that is payable in any currency other than the domestic currency. Domestic currency
is either the currency so specified or, if no currency is specified, the currency of (a) the
reference entity, if the reference entity is a sovereign, or (b) the jurisdiction in which the
relevant reference entity is organised, if the reference entity is not a sovereign. ISDA 2003
Term: Not Domestic Currency
An obligation and deliverable obligation characteristic. If the
reference entity is a Sovereign, this means any obligation that is not subject to the laws of
the reference entity. If the reference entity is not a sovereign, this means any obligation that
is not subject to the laws of the jurisdiction of the reference entity. ISDA 2003 Term: Not
Domestic Law
An obligation and deliverable obligation characteristic. Indicates
whether or not the obligation is quoted, listed or ordinarily purchased and sold on an exchange.
ISDA 2003 Term: Listed
A deliverable obligation characteristic. In essence Not Contingent
means the repayment of principal cannot be dependant on a formula/index, i.e. to prevent the
risk of being delivered an instrument that may never pay any element of principal, and to ensure
that the obligation is interest bearing (on a regular schedule). ISDA 2003 Term: Not Contingent
An obligation and deliverable obligation characteristic. Any
obligation other than an obligation that was intended to be offered for sale primarily in the
domestic market of the relevant Reference Entity. This specifies that the obligation must be an
internationally recognized bond. ISDA 2003 Term: Not Domestic Issuance
A deliverable obligation characteristic. A loan that is freely
assignable to a bank or financial institution without the consent of the Reference Entity or the
guarantor, if any, of the loan (or the consent of the applicable borrower if a Reference Entity
is guaranteeing the loan) or any agent. ISDA 2003 Term: Assignable Loan
A deliverable obligation characteristic. A loan that is capable of
being assigned with the consent of the Reference Entity or the guarantor, if any, of the loan or
any agent. ISDA 2003 Term: Consent Required Loan
A deliverable obligation characteristic. A loan with a
participation agreement whereby the buyer is capable of creating, or procuring the creation of,
a contractual right in favour of the seller that provides the seller with recourse to the
participation seller for a specified share in any payments due under the relevant loan which are
received by the participation seller. ISDA 2003 Term: Direct Loan Participation
A deliverable obligation characteristic. An obligation that is
transferable to institutional investors without any contractual, statutory or regulatory
restrictions. ISDA 2003 Term: Transferable
A deliverable obligation characteristic. An obligation that has a
remaining maturity from the Physical Settlement Date of not greater than the period specified.
ISDA 2003 Term: Maximum Maturity
A deliverable obligation characteristic. An obligation at time of
default is due to mature and due to be repaid, or as a result of downgrade/bankruptcy is due to
be repaid as a result of an acceleration clause. ISDA 2003 Term: Accelerated or Matured
A deliverable obligation characteristic. Any obligation that is not
a bearer instrument. This applies to Bonds only and is meant to avoid tax, fraud and
security/delivery provisions that can potentially be associated with Bearer Bonds. ISDA 2003
Term: Not Bearer
An obligation and deliverable obligation characteristic.
Defined in the ISDA published additional provisions for U.S. Municipal as Reference Entity.
ISDA 2003 Term: Full Faith and Credit Obligation Liability
An obligation and deliverable obligation characteristic.
Defined in the ISDA published additional provisions for U.S. Municipal as Reference Entity.
ISDA 2003 Term: General Fund Obligation Liability
An obligation and deliverable obligation characteristic.
Defined in the ISDA published additional provisions for U.S. Municipal as Reference Entity.
ISDA 2003 Term: Revenue Obligation Liability
ISDA 1999 Term: Indirect Loan Participation. NOTE: Only applicable
as a deliverable obligation under ISDA Credit 1999.
A free format string to specify any excluded obligations or
deliverable obligations, as the case may be, of the reference entity or excluded types of
obligations or deliverable obligations. ISDA 2003 Term: Excluded Obligations/Excluded
Deliverable Obligations
This element is used to specify any other obligations of a
reference entity in both obligations and deliverable obligations. The obligations can be
specified free-form. ISDA 2003 Term: Other Obligations of a Reference Entity
Defines a coding scheme of the entity types defined in the ISDA First to
Default documentation.
Specifies a single fixed payment that is
payable by the payer to the receiver on the initial payment date. The fixed
payment to be paid is specified in terms of a known currency amount. This
element should be used for CDS Index trades, Standard CDS trades, and can be
used for CDS trades where it is necessary to represent a payment from Seller
to Buyer. For CDS trades where a payment is to be made from Buyer to Seller
the feeLeg/singlePayment structure must be used.
Specifies a periodic schedule of fixed amounts
that are payable by the buyer to the seller on the fixed rate payer payment
dates. The fixed amount to be paid on each payment date can be specified in
terms of a known currency amount or as an amount calculated on a formula
basis by reference to a per annum fixed rate. The applicable business day
convention and business day for adjusting any fixed rate payer payment date
if it would otherwise fall on a day that is not a business day are those
specified in the dateAdjustments element within the generalTerms component.
ISDA 2003 Term:
Specifies a single fixed amount that is payable
by the buyer to the seller on the fixed rate payer payment date. The fixed
amount to be paid is specified in terms of a known currency amount.
Specifies a periodic schedule of fixed amounts
that are payable by the buyer to the seller on the fixed rate payer payment
dates. The fixed amount to be paid on each payment date can be specified in
terms of a known currency amount or as an amount calculated on a formula
basis by reference to a per annum fixed rate. The applicable business day
convention and business day for adjusting any fixed rate payer payment date
if it would otherwise fall on a day that is not a business day are those
specified in the dateAdjustments element within the generalTerms component.
ISDA 2003 Term:
Specifies a periodic schedule of fixed amounts that are
payable by the buyer to the seller on the fixed rate payer payment dates. The fixed
amount to be paid on each payment date can be specified in terms of a known currency
amount or as an amount calculated on a formula basis by reference to a per annum
fixed rate. The applicable business day convention and business day for adjusting
any fixed rate payer payment date if it would otherwise fall on a day that is not a
business day are those specified in the dateAdjustments element within the
generalTerms component. ISDA 2003 Term:
An optional element that only has meaning in a credit index
trade. This element contains the credit spread ("fair value") at which the trade was
executed. Unlike the fixedRate of an index, the marketFixedRate varies over the life of
the index depending on market conditions. The marketFixedRate is the price of the index
as quoted by trading desks.
Applicable to CDS on MBS to specify whether payment delays
are applicable to the fixed Amount. RMBS typically have a payment delay of 5 days
between the coupon date of the reference obligation and the payment date of the
synthetic swap. CMBS do not, on the other hand, with both payment dates being on the
25th of each month.
An optional element that contains the up-front points
expressed as a percentage of the notional. An initialPoints value of 5% would be
represented as 0.05. The initialPoints element is an alternative to marketFixedRate in
quoting the traded level of a trade. When initialPoints is used, the traded level is the
sum of fixedRate and initialPoints. The initialPoints is one of the items that are
factored into the initialPayment calculation and is payable by the Buyer to the Seller.
Note that initialPoints and marketFixedRate may both be present in the same document
when both implied values are desired.
An optional element that only has meaning in a credit index
trade. This element contains the price at which the trade was executed and is used
instead of marketFixedRate on credit trades on certain indicies which are quoted using a
price rather than a spread.
The type of quotation that was used between the trading
desks. The purpose of this element is to indicate the actual quotation style that was
used to quote this trade which may not be apparent when both marketFixedRate and
initialPoints are included in the document. When quotationStyle is ‘PointsUpFront’, the
initialPoints element should be populated. When quotationStyle is ‘TradedSpread’, the
marketFixedRate element should be populated.
The notional amount used in the calculation of fixed amounts where
an amount is calculated on a formula basis, i.e. fixed amount = fixed rate payer calculation
amount x fixed rate x fixed rate day count fraction. ISDA 2003 Term: Fixed Rate Payer
Calculation Amount.
The calculation period fixed rate. A per annum rate, expressed as a
decimal. A fixed rate of 5% would be represented as 0.05.
The day count fraction. ISDA 2003 Term: Fixed Rate Day Count
Fraction.
The calculation period fixed rate. A per annum rate, expressed as a
decimal. A fixed rate of 5% would be represented as 0.05.
The notional amount used in the calculation of fixed amounts where
an amount is calculated on a formula basis, i.e. fixed amount = fixed rate payer calculation
amount x fixed rate x fixed rate day count fraction. ISDA 2003 Term: Fixed Rate Payer
Calculation Amount.
The calculation period floating rate.
The day count fraction. ISDA 2003 Term: Fixed Rate Day Count
Fraction.
A floating rate payment event. Corresponds to the failure by the
Reference Entity to pay an expected principal amount or the payment of an actual principal
amount that is less than the expected principal amount. ISDA 2003 Term: Failure to Pay
Principal.
A floating rate payment event. With respect to any Reference
Obligation Payment Date, either (a) the non-payment of an Expected Interest Amount or (b) the
payment of an Actual Interest Amount that is less than the Expected Interest Amount. ISDA 2003
Term: Interest Shortfall.
A floating rate payment event. Results from the fact that the
underlyer writes down its outstanding principal amount. ISDA 2003 Term: Writedown.
A floating rate payment event. Results from the fact that losses
occur to the underlying instruments that do not result in reductions of the outstanding
principal of the reference obligation.
Specifies the floating amount provisions associated with the
floatingAmountEvents.
Specifies the events that will give rise to the payment a
additional fixed payments.
As specified by the ISDA Supplement for use with trades on
mortgage-backed securities, "WAC Cap" means a weighted average coupon or weighted average rate
cap provision (however defined in the Underlying Instruments) of the Underlying Instruments that
limits, increases or decreases the interest rate or interest entitlement, as set out in the
Underlying Instruments on the Effective Date without regard to any subsequent amendment The
presence of the element with value set to 'true' signifies that the provision is applicable.
From a usage standpoint, this provision is typically applicable in the case of CMBS and not
applicable in case of RMBS trades.
As specified by the ISDA Standard Terms Supplement for use with
trades on mortgage-backed securities. The presence of the element with value set to 'true'
signifies that the provision is applicable. If applicable, the applicable step-up terms are
specified as part of that ISDA Standard Terms Supplement. From a usage standpoint, this
provision is typically applicable in the case of RMBS and not applicable in case of CMBS trades.
The first day of the term of the trade. This day may be subject to
adjustment in accordance with a business day convention. ISDA 2003 Term: Effective Date.
The scheduled date on which the credit protection will lapse. This
day may be subject to adjustment in accordance with a business day convention. ISDA 2003 Term:
Scheduled Termination Date.
The buyer of the credit protection (ISDA 2003 Term: Fixed Rate
Payer) and the seller of the credit protection (ISDA 2003 Term: Floating Rate Payer).
ISDA 2003 Terms: Business Day and Business Day Convention.
This element contains all the terms relevant to defining the
reference entity and reference obligation(s).
This element contains all the terms relevant to defining the
Credit DefaultSwap Index.
This element contains all the terms relevant to defining the
Credit Default Swap Basket.
This element is used for representing information contained in the
Additional Terms field of the 2003 Master Credit Derivatives confirm.
Value of this element set to 'true' indicates that substitution is
applicable.
Value of this element set to 'true' indicates that modified equity
delivery is applicable.
A type defining a Credit Default Swap Index.
The name of the index expressed as a free format string.
FpML does not define usage rules for this element.
A CDS index identifier (e.g. RED pair code).
A CDS index identifier (e.g. RED pair code).
A CDS index series identifier, e.g. 1, 2, 3 etc.
A CDS index series version identifier, e.g. 1, 2, 3 etc.
A CDS index series annex date.
A CDS index series annex source.
Excluded reference entity.
This element contains CDS tranche terms.
Used to specify the Relevant Settled Entity Matrix when there are
settled entities at the time of the trade.
A fixed payment date that shall be subject to adjustment in
accordance with the applicable business day convention if it would otherwise fall on a
day that is not a business day. The applicable business day convention and business day
are those specified in the dateAdjustments element within the generalTerms component.
The adjusted payment date. This date should already be
adjusted for any applicable business day convention. This component is not intended for
use in trade confirmation but may be specified to allow the fee structure to also serve
as a cashflow type component.
A fixed payment amount.
Specifies the nature of the interest Shortfall cap (i.e. Fixed Cap
or Variable Cap) in the case where it is applicable. ISDA 2003 Term: Interest Shortfall Cap.
The rate source in the case of a variable cap.
If Direct Loan Participation is specified as a deliverable
obligation characteristic, this specifies any requirements for the Qualifying
Participation Seller. The requirements may be listed free-form. ISDA 2003 Term:
Qualifying Participation Seller
The number of business days between successive valuation
dates when multiple valuation dates are applicable for cash settlement. ISDA 2003 Term:
Business Days thereafter
Where multiple valuation dates are specified as being
applicable for cash settlement, this element specifies (a) the number of applicable
valuation dates, and (b) the number of business days after satisfaction of all
conditions to settlement when the first such valuation date occurs, and (c) the number
of business days thereafter of each successive valuation date. ISDA 2003 Term: Multiple
Valuation Dates
Indicates whether the not domestic currency provision is
applicable.
An explicit specification of the domestic currency.
Used in both obligations and deliverable obligations to represent a
class or type of securities which apply. ISDA 2003 Term: Obligation Category/Deliverable
Obligation Category
An obligation and deliverable obligation characteristic. An
obligation that ranks at least equal with the most senior Reference Obligation in priority of
payment or, if no Reference Obligation is specified in the related Confirmation, the obligations
of the Reference Entity that are senior. ISDA 2003 Term: Not Subordinated
An obligation and deliverable obligation characteristic. The
currency or currencies in which an obligation or deliverable obligation must be payable. ISDA
2003 Term: Specified Currency
An obligation and deliverable obligation characteristic. Any
obligation that is not primarily (majority) owed to a Sovereign or Supranational Organization.
ISDA 2003 Term: Not Sovereign Lender
An obligation and deliverable obligation characteristic. Any
obligation that is payable in any currency other than the domestic currency. Domestic currency
is either the currency so specified or, if no currency is specified, the currency of (a) the
reference entity, if the reference entity is a sovereign, or (b) the jurisdiction in which the
relevant reference entity is organised, if the reference entity is not a sovereign. ISDA 2003
Term: Not Domestic Currency
An obligation and deliverable obligation characteristic. If the
reference entity is a Sovereign, this means any obligation that is not subject to the laws of
the reference entity. If the reference entity is not a sovereign, this means any obligation that
is not subject to the laws of the jurisdiction of the reference entity. ISDA 2003 Term: Not
Domestic Law
An obligation and deliverable obligation characteristic. Indicates
whether or not the obligation is quoted, listed or ordinarily purchased and sold on an exchange.
ISDA 2003 Term: Listed
An obligation and deliverable obligation characteristic. Any
obligation other than an obligation that was intended to be offered for sale primarily in the
domestic market of the relevant Reference Entity. This specifies that the obligation must be an
internationally recognized bond. ISDA 2003 Term: Not Domestic Issuance
An obligation and deliverable obligation characteristic.
Defined in the ISDA published additional provisions for U.S. Municipal as Reference Entity.
ISDA 2003 Term: Full Faith and Credit Obligation Liability
An obligation and deliverable obligation characteristic.
Defined in the ISDA published additional provisions for U.S. Municipal as Reference Entity.
ISDA 2003 Term: General Fund Obligation Liability
An obligation and deliverable obligation characteristic.
Defined in the ISDA published additional provisions for U.S. Municipal as Reference Entity.
ISDA 2003 Term: Revenue Obligation Liability
NOTE: Only allowed as an obligation charcteristic under ISDA Credit
1999. In essence Not Contingent means the repayment of principal cannot be dependant on a
formula/index, i.e. to prevent the risk of being delivered an instrument that may never pay any
element of principal, and to ensure that the obligation is interest bearing (on a regular
schedule). ISDA 2003 Term: Not Contingent
A free format string to specify any excluded obligations or
deliverable obligations, as the case may be, of the reference entity or excluded types of
obligations or deliverable obligations. ISDA 2003 Term: Excluded Obligations/Excluded
Deliverable Obligations
This element is used to specify any other obligations of a
reference entity in both obligations and deliverable obligations. The obligations can be
specified free-form. ISDA 2003 Term: Other Obligations of a Reference Entity
Applies to Loan CDS, to indicate what lien level is appropriate for
a deliverable obligation. Applies to European Loan CDS, to indicate the Ranking of the
obligation. Example: a 2nd lien Loan CDS would imply that the deliverable obligations are 1st or
2nd lien loans.
An obligation and deliverable obligation characteristic. Defined in
the ISDA published Standard Terms Supplement for use with CDS Transactions on Leveraged Loans.
ISDA 2003 Term: Cash Settlement Only.
An obligation and deliverable obligation characteristic. Defined in
the ISDA published Standard Terms Supplement for use with CDS Transactions on Leveraged Loans.
ISDA 2003 Term: Delivery of Commitments.
An obligation and deliverable obligation characteristic. Defined in
the ISDA published Standard Terms Supplement for use with CDS Transactions on Leveraged Loans.
ISDA 2003 Term: Continuity.
Indicates whether the provision is applicable.
Specifies whether either 'Partial Cash Settlement of Assignable
Loans', 'Partial Cash Settlement of Consent Required Loans' or 'Partial Cash Settlement of
Participations' is applicable. If this element is specified and Assignable Loan is a Deliverable
Obligation Chracteristic, any Assignable Loan that is deliverable, but where a non-receipt of
Consent by the Physical Settlement Date has occurred, the Loan can be cash settled rather than
physically delivered. If this element is specified and Consent Required Loan is a Deliverable
Obligation Characterisitc, any Consent Required Loan that is deliverable, but where a
non-receipt of Consent by the Physical Settlement Date has occurred, the Loan can be cash
settled rather than physically delivered. If this element is specified and Direct Loan
Participation is a Deliverable Obligation Characterisitic, any Participation that is
deliverable, but where this participation has not been effected (has not come into effect) by
the Physical Settlement Date, the participation can be cash settled rather than physically
delivered.
The time interval between regular fixed rate payer payment
dates.
The start date of the initial calculation period if such
date is not equal to the trade’s effective date. It must only be specified if it is not
equal to the effective date. The applicable business day convention and business day are
those specified in the dateAdjustments element within the generalTerms component (or in
a transaction supplement FpML representation defined within the referenced general terms
confirmation agreement).
The first unadjusted fixed rate payer payment date. The
applicable business day convention and business day are those specified in the
dateAdjustments element within the generalTerms component (or in a transaction
supplement FpML representation defined within the referenced general terms confirmation
agreement). ISDA 2003 Term: Fixed Rate Payer Payment Date
The last regular unadjusted fixed rate payer payment date.
The applicable business day convention and business day are those specified in the
dateAdjustments element within the generalTerms component (or in a transaction
supplement FpML representation defined within the referenced general terms confirmation
agreement). This element should only be included if there is a final payment stub, i.e.
where the last regular unadjusted fixed rate payer payment date is not equal to the
scheduled termination date. ISDA 2003 Term: Fixed Rate Payer Payment Date
Used in conjunction with the effectiveDate,
scheduledTerminationDate, firstPaymentDate, lastRegularPaymentDate and paymentFrequency
to determine the regular fixed rate payer payment dates.
A fixed payment amount. ISDA 2003 Term: Fixed Amount
This element contains all the terms relevant to
calculating a fixed amount where the fixed amount is calculated by reference to a
per annum fixed rate. There is no corresponding ISDA 2003 Term. The equivalent is
Sec 5.1 "Calculation of Fixed Amount" but this in itself is not a defined Term.
An optional cashflow-like structure allowing the equivalent
representation of the periodic fixed payments in terms of a series of adjusted payment
dates and amounts. This is intended to support application integration within an
organisation and is not intended for use in inter-firm communication or confirmations.
ISDA 2003 Term: Fixed Rate Payer Payment Date
An explicit indication that a number of business days are not
specified and therefore ISDA fallback provisions should apply.
A number of business days. Its precise meaning is dependant on the
context in which this element is used. ISDA 2003 Term: Business Day
A maximum number of business days. Its precise meaning is dependant
on the context in which this element is used. Intended to be used to limit a particular ISDA
fallback provision.
The number of business days used in the determination of
the physical settlement date. The physical settlement date is this number of business
days after all applicable conditions to settlement are satisfied. If a number of
business days is not specified fallback provisions apply for determining the number of
business days. If Section 8.5/8.6 of the 1999/2003 ISDA Definitions are to apply the
businessDaysNotSpecified element should be included. If a specified number of business
days are to apply these should be specified in the businessDays element. If Section
8.5/8.6 of the 1999/2003 ISDA Definitions are to apply but capped at a maximum number of
business days then the maximum number should be specified in the maximumBusinessDays
element. ISDA 2003 Term: Physical Settlement Period
This element contains all the ISDA terms relevant to
defining the deliverable obligations.
If this element is specified and set to 'true', indicates
that physical settlement must take place through the use of an escrow agent. (For
Canadian counterparties this is always "Not Applicable". ISDA 2003 Term: Escrow.
If this element is specified and set to 'true', for a
transaction documented under the 2003 ISDA Credit Derivatives Definitions, has the
effect of incorporating the language set forth below into the confirmation. The section
references are to the 2003 ISDA Credit Derivatives Definitions. Notwithstanding Section
1.7 or any provisions of Sections 9.9 or 9.10 to the contrary, but without prejudice to
Section 9.3 and (where applicable) Sections 9.4, 9.5 and 9.6, if the Termination Date
has not occurred on or prior to the date that is 60 Business Days following the Physical
Settlement Date, such 60th Business Day shall be deemed to be the Termination Date with
respect to this Transaction except in relation to any portion of the Transaction (an
"Affected Portion") in respect of which: (1) a valid notice of Buy-in Price has been
delivered that is effective fewer than three Business Days prior to such 60th Business
Day, in which case the Termination Date for that Affected Portion shall be the third
Business Day following the date on which such notice is effective; or (2) Buyer has
purchased but not Delivered Deliverable Obligations validly specified by Seller pursuant
to Section 9.10(b), in which case the Termination Date for that Affected Portion shall
be the tenth Business Day following the date on which Seller validly specified such
Deliverable Obligations to Buyer.
The notional amount of protection coverage. ISDA 2003 Term:
Floating Rate Payer Calculation Amount
This element contains all the ISDA terms relating to credit
events.
The underlying obligations of the reference entity on which you are
buying or selling protection. The credit events Failure to Pay, Obligation Acceleration,
Obligation Default, Restructuring, Repudiation/Moratorium are defined with respect to these
obligations. ISDA 2003 Term:
This element contains the ISDA terms relating to the floating rate
payment events and the implied additional fixed payments, applicable to the credit derivatives
transactions on mortgage-backed securities with pay-as-you-go or physical settlement.
Reference to protectionTerms component.
The corporate or sovereign entity on which you are buying or
selling protection and any successor that assumes all or substantially all of its contractual
and other obligations. It is vital to use the correct legal name of the entity and to be careful
not to choose a subsidiary if you really want to trade protection on a parent company. Please
note, Reference Entities cannot be senior or subordinated. It is the obligations of the
Reference Entities that can be senior or subordinated. ISDA 2003 Term: Reference Entity
The Reference Obligation is a financial instrument that is
either issued or guaranteed by the reference entity. It serves to clarify the precise
reference entity protection is being offered upon, and its legal position with regard to
other related firms (parents/subsidiaries). Furthermore the Reference Obligation is ALWAYS
deliverable and establishes the Pari Passu ranking (as the deliverable bonds must rank equal
to the reference obligation). ISDA 2003 Term: Reference Obligation
Used to indicate that there is no Reference Obligation
associated with this Credit Default Swap and that there will never be one.
Used to indicate that the Reference obligation associated with
the Credit Default Swap is currently not known. This is not valid for Legal Confirmation
purposes, but is valid for earlier stages in the trade life cycle (e.g. Broker
Confirmation).
Indicates whether an obligation of the Reference Entity, guaranteed
by the Reference Entity on behalf of a non-Affiliate, is to be considered an Obligation for the
purpose of the transaction. It will be considered an obligation if allGuarantees is applicable
(true) and not if allGuarantees is inapplicable (false). ISDA 2003 Term: All Guarantees
Used to determine (a) for physically settled trades, the Physical
Settlement Amount, which equals the Floating Rate Payer Calculation Amount times the Reference
Price and (b) for cash settled trades, the Cash Settlement Amount, which equals the greater of
(i) the difference between the Reference Price and the Final Price and (ii) zero. ISDA 2003
Term: Reference Price
Applicable to the transactions on mortgage-backed security, which
can make use of a reference policy. Presence of the element with value set to 'true' indicates
that the reference policy is applicable; absence implies that it is not.
With respect to any day, the list of Syndicated Secured Obligations
of the Designated Priority of the Reference Entity published by Markit Group Limited or any
successor thereto appointed by the Specified Dealers (the "Secured List Publisher") on or most
recently before such day, which list is currently available at [http://www.markit.com]. ISDA
2003 Term: Relevant Secured List.
The entity primarily responsible for repaying debt to a
creditor as a result of borrowing or issuing bonds. ISDA 2003 Term: Primary Obligor
A pointer style reference to a reference entity defined
elsewhere in the document. Used when the reference entity is the primary obligor.
The party that guarantees by way of a contractual arrangement
to pay the debts of an obligor if the obligor is unable to make the required payments
itself. ISDA 2003 Term: Guarantor
A pointer style reference to a reference entity defined
elsewhere in the document. Used when the reference entity is the guarantor.
Indicates if the reference obligation is a Standard Reference
Obligation. ISDA 2014 Term: Standard Reference Obligation.
The corporate or sovereign entity on which you are buying or
selling protection and any successor that assumes all or substantially all of its contractual
and other obligations. It is vital to use the correct legal name of the entity and to be careful
not to choose a subsidiary if you really want to trade protection on a parent company. Please
note, Reference Entities cannot be senior or subordinated. It is the obligations of the
Reference Entities that can be senior or subordinated. ISDA 2003 Term: Reference Entity
The Reference Obligation is a financial instrument that is
either issued or guaranteed by the reference entity. It serves to clarify the precise
reference entity protection is being offered upon, and its legal position with regard to
other related firms (parents/subsidiaries). Furthermore the Reference Obligation is ALWAYS
deliverable and establishes the Pari Passu ranking (as the deliverable bonds must rank equal
to the reference obligation). ISDA 2003 Term: Reference Obligation
Used to indicate that there is no Reference Obligation
associated with this Credit Default Swap and that there will never be one.
Defines the reference entity types corresponding to a list of types
in the ISDA First to Default documentation.
This type contains all the reference pool items to define the reference
entity and reference obligation(s) in the basket.
This type contains all the constituent weight and reference information.
Describes the weight of each of the constituents within the basket.
If not provided, it is assumed to be equal weighted.
Reference to the documentation terms applicable to this item.
Reference to the settlement terms applicable to this item.
Relevant settled entity matrix source.
Specifies the publication date of the applicable version of the
matrix. When this element is omitted, the Standard Terms Supplement defines rules for which
version of the matrix is applicable.
Reference to a settlement terms derived construct (cashSettlementTerms or
physicalSettlementTerms).
A fixed amount payment date that shall be subject to
adjustment in accordance with the applicable business day convention if it would
otherwise fall on a day that is not a business day. The applicable business day
convention and business day are those specified in the dateAdjustments element within
the generalTerms component. ISDA 2003 Term: Fixed Rate Payer Payment Date
The adjusted payment date. This date should already be
adjusted for any applicable business day convention. This component is not intended for
use in trade confirmation but may be specified to allow the fee structure to also serve
as a cashflow type component.
A fixed payment amount. ISDA 2003 Term: Fixed Amount
A number of business days. Its precise meaning is dependant on the
context in which this element is used. ISDA 2003 Term: Business Day
Indicates whether the specified currency provision is applicable.
The currency in which an amount is denominated.
This type represents a CDS Tranche.
Lower bound percentage of the loss that the Tranche can endure,
expressed as a decimal. An attachment point of 5% would be represented as 0.05. The difference
between Attachment and Exhaustion points is call the width of the Tranche. A schema facet to
constraint the value between 0 to 1 will be introduced in FpML 4.3.
Upper bound percentage of the loss that the Tranche can endure,
expressed as a decimal. An exhaustion point of 5% would be represented as 0.05. The difference
between Attachment and Exhaustion points is call the width of the Tranche. A schema facet to
constraint the value between 0 to 1 will be introduced in FpML 4.3.
Outstanding Swap Notional Amount is defined at any time on any day,
as the greater of: (a) Zero; If Incurred Recovery Amount Applicable: (b) The Original Swap
Notional Amount minus the sum of all Incurred Loss Amounts and all Incurred Recovery Amounts (if
any) determined under this Confirmation at or prior to such time.Incurred Recovery Amount not
populated: (b) The Original Swap Notional Amount minus the sum of all Incurred Loss Amounts
determined under this Confirmation at or prior to such time.
Where single valuation date is specified as being applicable for
cash settlement, this element specifies the number of business days after satisfaction of all
conditions to settlement when such valuation date occurs. ISDA 2003 Term: Single Valuation Date
Where multiple valuation dates are specified as being applicable
for cash settlement, this element specifies (a) the number of applicable valuation dates, and
(b) the number of business days after satisfaction of all conditions to settlement when the
first such valuation date occurs, and (c) the number of business days thereafter of each
successive valuation date. ISDA 2003 Term: Multiple Valuation Dates
In a credit default swap one party (the protection seller) agrees to
compensate another party (the protection buyer) if a specified company or Sovereign (the reference
entity) experiences a credit event, indicating it is or may be unable to service its debts. The
protection seller is typically paid a fee and/or premium, expressed as an annualized percent of the
notional in basis points, regularly over the life of the transaction or otherwise as agreed by the
parties.
An option on a credit default swap.
The amount paid by the seller to the buyer for cash settlement on
the cash settlement date. If not otherwise specified, would typically be calculated as 100 (or
the Reference Price) minus the price of the Reference Obligation (all expressed as a percentage)
times Floating Rate Payer Calculation Amount. ISDA 2003 Term: Cash Settlement Amount.
Used for fixed recovery, specifies the recovery level, determined
at contract inception, to be applied on a default. Used to calculate the amount paid by the
seller to the buyer for cash settlement on the cash settlement date. Amount calculation is (1
minus the Recovery Factor) multiplied by the Floating Rate Payer Calculation Amount. The
currency will be derived from the Floating Rate Payer Calculation Amount.
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