schemas.fpml-4-9.fpml-asset-4-9.xsd Maven / Gradle / Ivy
Specifies the currency associated with the net price. This element is not present if the price is expressed in percentage terms (as specified through the priceExpression element).
Specifies the net price amount. In the case of a fixed income security or a convertible bond, this price includes the accrued interests.
Specifies whether the price is expressed in absolute or relative terms.
A reference to an asset, e.g. a portfolio, trade, or reference instrument..
Abstract base class for all underlying assets.
A scheme identifying the types of measures that can be used to describe an asset.
Characterise the asset pool behind an asset backed bond.
The part of the mortgage that is outstanding on trade inception, i.e. has not been repaid yet as principal. It is expressed as a multiplier factor to the morgage: 1 means that the whole mortage amount is outstanding, 0.8 means that 20% has been repaid.
The part of the mortgage that is currently outstanding. It is expressed similarly to the initial factor, as factor multiplier to the mortgage. This term is formally defined as part of the "ISDA Standard Terms Supplement for use with credit derivatives transactions on mortgage-backed security with pas-as-you-go or physical settlement".
Reference to an underlying asset.
Some kind of numerical measure about an asset, eg. its NPV, together with characteristics of that measure.
A type describing the underlyer features of a basket swap. Each of the basket constituents are described through an embedded component, the basketConstituentsType.
The number of units (index or securities) that constitute the underlyer of the swap. In the case of a basket swap, this element is used to reference both the number of basket units, and the number of each asset components of the basket when these are expressed in absolute terms.
Describes each of the components of the basket.
Specifies the basket divisor amount. This value is normally used to adjust the constituent weight for pricing or to adjust for dividends, or other corporate actions.
Reuses the group that specifies a name and an identifier for a given basket.
Specifies the currency for this basket.
A type describing each of the constituents of a basket.
Specifies the weight of each of the underlyer constituent within the basket, either in absolute or relative terms. This is an optional component, as certain swaps do not specify a specific weight for each of their basket constituents.
Specifies the dividend payout ratio associated with an equity underlyer. A basket swap can have different payout ratios across the various underlying constituents. In certain cases the actual ratio is not known on trade inception, and only general conditions are then specified. Users should note that FpML makes a distinction between the derivative contract and the underlyer of the contract. It would be better if the agreed dividend payout on a derivative contract was modelled at the level of the derivative contract, an approach which may be adopted in the next major version of FpML.
Specifies the price that is associated with each of the basket constituents. This component is optional, as it is not absolutely required to accurately describe the economics of the trade, considering the price that characterizes the equity swap is associated to the leg of the trade.
Specifies the notional (i.e. price * quantity) that is associated with each of the basket constituents. This component is optional, as it is not absolutely required to accurately describe the economics of the trade, considering the notional that characterizes the equity swap is associated to the leg of the trade.
Provides a link to the spread schedule used for this underlyer.
The next upcoming coupon payment.
An exchange traded bond.
Specifies the nominal amount of a fixed income security or convertible bond.
Specifies the total amount of the issue. Corresponds to the par value multiplied by the number of issued security.
The currency in which an amount is denominated.
A type describing the commission that will be charged for each of the hedge transactions.
The type of units used to express a commission.
The commission amount, expressed in the way indicated by the commissionType element.
The currency in which an amount is denominated.
The total commission per trade.
FX Rates that have been used to convert commissions to a single currency.
A type describing a commodity underlying asset.
Defines a commodity business day calendar.
Specifies the time with respect to a commodity business calendar.
A time specified as Hour Ending in hh:mm:ss format where the second component must be '00', e.g. 11am would be represented as 11:00:00.
An identifier for a specific location or region which translates into a combination of rules for calculating the UTC offset.
Identifies a commodity business day calendar.
A type describing the weight of each of the underlyer constituent within the basket, either in absolute or relative terms.
The number of units (index or securities) that constitute the underlyer of the swap. In the case of a basket swap, this element is used to reference both the number of basket units, and the number of each asset components of the basket when these are expressed in absolute terms.
The relative weight of each respective basket constituent, expressed in percentage. A basket percentage of 5% would be represented as 0.05.
The relative weight of each respective basket constituent, expressed as a monetary amount.
Specifies the equity in which the convertible bond can be converted.
Earlier date between the convertible bond put dates and its maturity date.
Defines a scheme of values for specifiying if the bond has a variable coupon, step-up/down coupon or a zero-coupon.
Specifies the term of the deposit, e.g. 5Y.
Specifies the frequency at which the deposit pays, e.g. 6M.
The day count basis for the deposit.
A type describing the dividend payout ratio associated with an equity underlyer. In certain cases the actual ratio is not known on trade inception, and only general conditions are then specified.
Specifies the actual dividend payout ratio associated with the equity underlyer.
Specifies the dividend payout conditions that will be applied in the case where the actual ratio is not known, typically because of regulatory or legal uncertainties.
The next upcoming dividend payment or payments.
An exchange traded equity asset.
An abstract base class for all exchange traded financial products.
Abstract base class for all exchange traded financial products with a price which is calculated from exchange traded constituents.
Identification of all the exchanges where constituents are traded. The term "Exchange" is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
An exchange traded derivative contract.
Specifies the contract multiplier that can be associated with the number of units.
Specifies the contract that can be referenced, besides the undelyer type.
The date when the contract expires.
An exchange traded fund whose price depends on exchange traded constituents.
Specifies the fund manager that is in charge of the fund.
A type describing the type of loan facility.
An exchange traded future contract.
Specifies the contract multiplier that can be associated with the number of units.
Specifies the future contract that can be referenced, besides the equity or index reference defined as part of the UnderlyerAsset type.
The date when the future contract expires.
A type defining a short form unique identifier for a future contract.
Specifies a currency conversion rate.
Defines the two currencies for an FX trade and the quotation relationship between the two currencies.
Defines the source of the FX rate.
A generic type describing an identified asset.
Identification of the underlying asset, using public and/or private identifiers.
Long name of the underlying asset.
A published index whose price depends on exchange traded constituents.
A short form unique identifier for the reference future contract in the case of an index underlyer.
A type describing the liens associated with a loan facility.
A type describing a loan underlying asset.
Specifies the borrower. There can be more than one borrower. It is meant to be used in the event that there is no Bloomberg Id or the Secured List isn't applicable.
Specifies the seniority level of the lien.
The type of loan facility (letter of credit, revolving, ...).
The date when the principal amount of the loan becomes due and payable.
The credit agreement date is the closing date (the date where the agreement has been signed) for the loans in the credit agreement. Funding of the facilities occurs on (or sometimes a little after) the Credit Agreement date. This underlyer attribute is used to help identify which of the company's outstanding loans are being referenced by knowing to which credit agreement it belongs. ISDA Standards Terms Supplement term: Date of Original Credit Agreement.
The loan tranche that is subject to the derivative transaction. It will typically be referenced as the Bloomberg tranche number. ISDA Standards Terms Supplement term: Bloomberg Tranche Number.
A type describing a mortgage asset.
Applicable to the case of default swaps on MBS terms. For specifying the insurer name, when applicable (when the element is not present, it signifies that the insurer is Not Applicable)
The initial issued amount of the mortgage obligation.
The morgage pool that is underneath the mortgage obligation.
The sector classification of the mortgage obligation.
The mortgage obligation tranche that is subject to the derivative transaction.
A type describing the typology of mortgage obligations.
Boolean indicator to specify whether the mutual fund is an open-ended mutual fund.
Specifies the fund manager that is in charge of the fund.
A structure representing a pending dividend or coupon payment.
The date that the dividend or coupon is due.
The amount of the dividend or coupon payment. Value of dividends or coupon between ex and pay date. Stock: if we are between ex-date and pay-date and the dividend is payable under the swap, then this should be the ex-div amount * # of securities. Bond: regardless of where we are vis-a-vis resets: (coupon % * face of bonds on swap * (bond day count fraction using days last coupon pay date of the bond through today).
Accrued interest on the dividend or coupon payment. When the TRS is structured to pay a dividend or coupon on reset after payable date, you may earn interest on these amounts. This field indicates the interest accrued on dividend/coupon from pay date to statement date. This will only apply to a handful of agreements where dividendss are held to the next reset AND you receive/pay interest on unpaid amounts.
A type describing the strike price.
This optional component specifies the commission to be charged for executing the hedge transactions.
Specifies the method according to which an amount or a date is determined.
The href attribute value will be a pointer style reference to the element or component elsewhere in the document where the anchor amount is defined.
The net price excluding accrued interest. The "Dirty Price" for bonds is put in the "netPrice" element, which includes accrued interest. Thus netPrice - cleanNetPrice = accruedInterest. The currency and price expression for this field are the same as those for the (dirty) netPrice.
Allows information about how the price was quoted to be provided.
The units in which a price is quoted.
A type representing a set of characteristics that describe a quotation.
The type of the time of the quote.
Specifies the term of the simple swap, e.g. 5Y.
Specifies the frequency at which the index pays, e.g. 6M.
The day count basis for the index.
The reference entity, index, etc. upon which the CDS is based.
Specifies the term of the simple CD swap, e.g. 5Y.
Specifies the frequency at which the swap pays, e.g. 6M.
Specifies the start term of the simple fra, e.g. 3M.
Specifies the end term of the simple fra, e.g. 9M.
The day count basis for the FRA.
Specifies the term of the simple swap, e.g. 5Y.
Specifies the frequency at which the swap pays, e.g. 6M.
The day count basis for the swap.
A type describing a single underlyer
The number of units (index or securities) that constitute the underlyer of the swap. In the case of a basket swap, this element is used to reference both the number of basket units, and the number of each asset components of the basket when these are expressed in absolute terms.
Specifies the dividend payout ratio associated with an equity underlyer. A basket swap can have different payout ratios across the various underlying constituents. In certain cases the actual ratio is not known on trade inception, and only general conditions are then specified. Users should note that FpML makes a distinction between the derivative contract and the underlyer of the contract. It would be better if the agreed dividend payout on a derivative contract was modelled at the level of the derivative contract, an approach which may be adopted in the next major version of FpML.
The next upcoming coupon payment.
The average amount of individual securities traded in a day or over a specified amount of time.
A Depository Receipt is a negotiable certificate issued by a trust company or security depository. This element is used to represent whether a Depository Receipt is applicable or not to the underlyer.
Defines an identifier for a specific location or region which translates into a combination of rules for calculating the UTC offset.
A type describing the whole set of possible underlyers: single underlyers or multiple underlyers, each of these having either security or index components.
Describes the swap's underlyer when it has only one asset component.
Describes the swap's underlyer when it has multiple asset components.
Abstract base class for all underlying assets.
Trading currency of the underlyer when transacted as a cash instrument.
Identification of the exchange on which this asset is transacted for the purposes of calculating a contractural payoff. The term "Exchange" is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
Identification of the clearance system associated with the transaction exchange.
An optional reference to a full FpML product that defines the simple product in greater detail. In case of inconsistency between the terms of the simple product and those of the detailed definition, the values in the simple product override those in the detailed definition.
Defines the underlying asset when it is a basket.
Defines the underlying asset when it is a bond.
Defines a simple underlying asset type that is a cash payment. Used for specifying discounting factors for future cash flows in the pricing and risk model.
Defines the underlying asset when it is a commodity.
Defines the underlying asset when it is a convertible bond.
Defines a simple underlying asset that is a term deposit.
Defines the underlying asset when it is a listed equity.
Defines the underlying asset when it is an exchange-traded fund.
Defines the underlying asset when it is a listed future contract.
Defines a simple underlying asset type that is an FX rate. Used for specifying FX rates in the pricing and risk model.
Defines the underlying asset when it is a financial index.
Defines a simple underlying asset that is a loan.
Defines an underlying asset that is a mortgage.
Defines the underlying asset when it is a mutual fund.
Defines a simple underlying asset that is an interest rate index. Used for specifying benchmark assets in the market environment in the pricing and risk model.
Defines a simple underlying asset that is a credit default swap.
Defines a simple underlying asset that is a forward rate agreement.
Defines a simple underlying asset that is a swap.
Define the underlying asset when it is a listed security.
A group that specifies a name and an identifier for a given basket.
The name of the basket expressed as a free format string. FpML does not define usage rules for this element.
A CDS basket identifier
A CDS basket identifier
A group that specifies Bond Calculation elements
Specifies the frequency at which the bond pays, e.g. 6M.
The day count basis for the bond.
A model group which provides choices between all bond underlyers.
A bond instrument referenced by a contract
A convertible bond instrument referenced by a contract.
A group that specifies Bond Content elements
Specifies the issuer name of a fixed income security or convertible bond. This name can either be explicitly stated, or specified as an href into another element of the document, such as the obligor
The repayment precedence of a debt instrument.
Specifies if the bond has a variable coupon, step-up/down coupon or a zero-coupon.
Specifies the coupon rate (expressed in percentage) of a fixed income security or convertible bond.
The date when the principal amount of a security becomes due and payable.
A group used to specify details of a commodity underlyer.
The Specified Price is not defined in the Commodity Reference Price and so needs to be stated in the Underlyer definition as it will impact the calculation of the Floating Price.
The Delivery Date is a NearbyMonth, for use when the Commodity Transaction references Futures Contract.
The Delivery Date is a fixed, single day.
The Delivery Date is a fixed, single month.
Specifies, for a Commodity Transaction that references a listed future via the deliveryDates element, the day on which the specified future will roll to the next nearby month when the referenced future expires. If the future will not roll at all - i.e. the price will be taken from the expiring contract, 0 should be specified here. If the future will roll to the next nearby on the last trading day - i.e. the price will be taken from the next nearby on the last trading day, then 1 should be specified and so on.
Specifies the multiplier associated with a Transaction.
A group used to specify the commodity underlyer in the event that no ISDA Commofity Reference Price exists.
A coding scheme value to identify the base type of the commodity being traded. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions. For example, 'Oil'.
A coding scheme value to identify the commodity being traded more specifically. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions. For example, 'Brent'.
A coding scheme value to identify the unit in which the undelryer is denominated. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions.
The currency in which the Commodity Reference Price is published.
For those commodities being traded with reference to the price of a listed future, the exchange where that future is listed should be specified here.
For those commodities being traded with reference to a price distributed by a publication, that publication should be specified here.
An item which has credit characteristics that can be modeled, e.g. a firm, index, or region.
The entity for which this is defined.
An XML reference a credit entity defined elsewhere in the document.
A short form unique identifier for a related exchange. If the element is not present then the exchange shall be the primary exchange on which listed futures and options on the underlying are listed. The term "Exchange" is assumed to have the meaning as defined in the ISDA 2002 Equity Derivatives Definitions.
A short form unique identifier for an exchange on which the reference option contract is listed. This is to address the case where the reference exchange for the future is different than the one for the option. The options Exchange is referenced on share options when Merger Elections are selected as Options Exchange Adjustment.
A short form unique identifier for a specified exchange. If the element is not present then the exchange shall be default terms as defined in the MCA; unless otherwise specified in the Transaction Supplement.
Specifies the price of the underlyer, before commissions.
Specifies the price of the underlyer, net of commissions.
Specifies the accrued interest that are part of the dirty price in the case of a fixed income security or a convertible bond. Expressed in percentage of the notional.
Specifies the currency conversion rate that applies to an amount. This rate can either be defined elsewhere in the document (case of a quanto swap), or explicitly described through this component.
Some kind of numerical measure about an asset, eg. its price or NPV, together with characteristics of that measure.
The value of the the quotation.
The characteristics of the quotation.
A group collecting a set of characteristics that can be used to describe a quotation.
The type of the value that is measured. This could be an NPV, a cash flow, a clean price, etc.
The optional units that the measure is expressed in. If not supplied, this is assumed to be a price/value in currency units.
The side (bid/mid/ask) of the measure.
The optional currency that the measure is expressed in. If not supplied, this is defaulted from the reportingCurrency in the valuationScenarioDefinition.
When during a day the quote is for. Typically, if this element is supplied, the QuoteLocation needs also to be supplied.
Where the quote is from.
The information source where a published or displayed market rate will be obtained, e.g. Telerate Page 3750.
When the quote was observed or derived.
When the quote was computed.
When does the quote cease to be valid.
For cash flows, the type of the cash flows. Examples include: Coupon payment, Premium Fee, Settlement Fee, Brokerage Fee, etc.
A group describing where a quote was or will be obtained, e.g. observed or calculated.
A city or other business center.
The exchange (e.g. stock or futures exchange) from which the quote is obtained.
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