schemas.fpml-5-13.confirmation.fpml-asset-5-13.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.
Basket version, used to record changes in basket composition or weights
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 direction of performance payment of this underlyer constituent within the basket. This must be used where the basket contains a mix of long and short performance from the perspective of one party to the trade
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.
Financing terms associated with this underlyer
Loan rate terms associated with this underlyer. Commonly used for stock loan. You must not duplicate data elements already contained within dividend conditions at transaction level
Collateral associated with this underlyer. Note that this is not typical usage, collateral is more often at transaction level
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.
Identification of the underlying asset, using public and/or private identifiers.
Long name of the underlying asset.
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.
A type containing all commodity classification codes belonging to a specific commodity classification system.
Specifies a commodity classification code. The layer and classification system the code belongs to are specified in the coding scheme's URI.
A type used to identify commodities. It can be used with several schemes in order to specify different classification layers or different classification systems or jurisdictions.
The publication in which the rate, price, index or factor is to be found. (e.g Gas Daily, Platts Bloomberg.)
A type defining the source of a commodity rate, price or index or of a market rate or of a conversion factor (e.g. a fx conversion factor).
The publication in which the rate, price, index or factor is to be found. (e.g Gas Daily, Platts Bloomberg.)
A specific page or screen (in the case of electronically published information) on which the rate source is to be found.
The heading for the rate source on a given rate source page or screen.
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.
DEPRECATED. 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.
A type defines nearest Delivery Date of the underlying Commodity of expiration of the futures contract.
A time multiplier, e.g. 1, 2 or 3 etc. used in defining Delivery Nearby date.
Defines a type of the delivery nearby qualifier, expect to be used in conjunction with a delivery nearby multiplier, e.g. 1NearByMonth, 1NearbyWeek, etc. If 'CalculationPeriod' is used, the delivery nearby multiplier is expected to be '0'. To represent 'Spot', the value of the delivery nearby type should be 'NearbyMonth' and the delivery period multiplier should be set to '0' (zero).
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.
A sequence group to describe the total, cash, and non cash 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. Good practice is to specify only two of the three values, to avoid any inconsistency
Specifies the total actual dividend payout ratio associated with the equity underlyer.
Specifies the cash actual dividend payout ratio associated with the equity underlyer.
Specifies the non cash 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.
A type describing a single underlyer
Defines the two currencies for an FX trade and the quotation relationship between the two currencies.
An exchange traded fund whose price depends on exchange traded constituents.
Specifies the fund manager that is in charge of the fund.
An exchange traded option.
Specifies the price at which the option can be exercised.
The currency in which the strike of the option is expressed.
Units in which the option strike is expressed e.g. currency Amount, BasisPoints, Percentage, Rate. Reportable reference data under MiFID RTS 22
Specifies whether the option allows the holder to buy or sell tne underlying asset.
Reportable reference data under MiFID RTS 22
Specifies the exercise style of the option {American, Bermuda, European}
Underlyer of the option e.g. a listed future.
Settlement method for the contract (Cash, Physical). This value is used to populate the "Delivery Type" field for regulatory reporting (CFTC, ESMA).
A type describing the type of loan facility.
An exchange traded future contract.
The multiplier is the minimum number of the underlying - index or stock - that a participant has to trade while taking a position in the Future contract. The purpose of the multiplier is to inflate the value of the contract to add leverage to the trade. The multiplier for the Dow is 10, for the Nasdaq it is 100 and it is 250 for the Standard and Poor's index.
Native identifier for the contract on the listing exchange.
The date when the future contract expires.
The contract month of the futures contract. i.e. F13 WTI NYMEX Contract is 2013-01.
Reportable reference data under MiFID RTS 22
Underlyer of the option e.g. a listed future.
Settlement method for the contract (Cash, Physical). This value is used to populate the "Delivery Type" field for regulatory reporting (CFTC, ESMA).
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.
Concrete type to support public/private identifiers and classification (ISIN, CFI, ...) for an instrument of unspecified type. Derived as no-operation extension on IdentifedAsset (abstract base type).
Concrete type to support public/private identifiers and classification (ISIN, CFI, ...) for a security of unspecified type. Derived as no-operation extension on IdentifiedAsset (abstract base type)
Trading currency of the underlyer when transacted as a cash instrument.
Specifies the issuer name of a fixed income security or convertible bond. The name is specified as an href into one of the party blocks.
Credit quality type (e.g. SFTR specified types: 'INVG' - Investment grade; 'NIVG' - Non-investment grade; 'NOTR' - Non-rated). Classifies the risk of the security. Note: 'NOAP' - Not applicable value is indicated by the absence of the 'creditQuality' element.
Credit maturity. The date when the principal amount of a security becomes due and payable.
A generic type describing an identified asset.
Identification of the underlying asset, using public and/or private identifiers.
Classification of the asset, using public and/or private typologies e.g. ISO 10962 CFI code.
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 taxonomic classification, or typology, for a security (e.g. ISO 10962 CFI code).
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.
The seniority. E.g. senior, senior secured etc.
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 scheme identifying the types of pricing model used to evaluate the price of an asset. Examples include Intrinsic, ClosedForm, MonteCarlo, BackwardInduction.
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.
A scheme identifying the type of currency that was used to report the value of an asset. For example, this could contain values like SettlementCurrency, QuoteCurrency, UnitCurrency, etc.
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.
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 stock loan information where this is required per underlyer. You must not duplicate infromation within dividend conditions at transaction level
Defines the underlying asset when it is a basket.
Identifies the underlying asset when it is a series or a class of bonds.
Identifies 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.
Identifies the underlying asset when it is a listed commodity.
Identifies the underlying asset when it is a convertible bond.
Defines the underlying asset when it is a curve instrument.
Identifies a simple underlying asset that is a term deposit.
Identifies the underlying asset when it is a listed equity.
Identifies the underlying asset when it is an exchange-traded fund.
Identifies the underlying asset when it is a listed future contract.
Identifies a simple underlying asset type that is an FX rate. Used for specifying FX rates in the pricing and risk model.
Identifies the underlying asset when it is a financial index.
Identifies a simple underlying asset that is a loan.
Identifies a mortgage backed security.
Identifies the class of unit issued by a fund.
Identifies the underlying asset when it is a listed option contract.
Identifies 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.
Identifies a security of implicit type (derivable from the security reference data).
Identifies a simple underlying asset that is a credit default swap.
Identifies a simple underlying asset that is a forward rate agreement.
Identifies a simple underlying asset that is a swap.
Define the underlying asset, either a listed security or other instrument.
Defines the underlying asset when it is a warrant.
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 model group that allows us to specify that a repo contract can reference bond or equity instruments.
Most repos are done using Bonds and Bond subclasses as collateral. However in some jurisdictions repos on equities are widely used. It is technically possible to execute a repo on an equity, as long as the mark to market is correctly done during the lifetime of the repo.
A bond, or bond subtype referenced by a repo contract.
An equity referenced by a repo contract.
A group used to specify details of a commodity underlyer.
The 'specified Price' describes the nature of the underlying price that is observed. It must be be stated in the underlyer definition as it is not defined in the Commodity Reference Price. Example values of 'specifiedPrice' are 'Settlement' (for a futures contract) and 'WeightedAverage' (for some published prices and indices).
Deprecated: The 'deliveryDates' element is applicable for a Commodity Reference Price that references a listed future contract (e.g. The Delivery Date is a NearbyMonth).
A container for the parametric representation of nearby contracts.
The Delivery Date is a fixed, single day.
The Delivery Date is a fixed, single month.
The 'deliveryDateRollConvention' 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 prior to the expiration of the referenced future. 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.
The 'deliveryDateExpirationConvention' specifies, for a Commodity Transaction that references a listed future via the 'deliveryDates' element, the day on which the specified future will expire ahead of the actual expiration of the referenced future. For example: Z21 Contract expires on 19Nov21, with an adjust of 2D the "expire" will be 16Nov21. DeliveryDateRollConvention takes precedence. Example: Pricing on the Z21 Contract with NearbyContractDay and a deliveryDateRoll of 10D, Sampling of the F22 Contract will occur on 8Nov21 through the last Date of the Z21 Contract. With an ExpConvention of 5D, the last sampling date on the F22 contract will be 12Nov21.
The 'multiplier' specifies the multiplier associated with the Transaction. The 'multiplier' element has two uses: (1) for Freight Transactions or any Calculation Period specified for a Freight Transaction, if an amount is specified as the Multiplier then it is captured by this element and (2) if the Transaction is a heat rate option, the heat rate multiplier is represented in this element. If multiplier is not provided, multiplier is assumed to be 1. (i.e. rate source states 1 BBL of Oil as 90 Dollars. Multiplier of 10 will change the value to 900 dollars.)
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'.
Specifies the classification of a commodity in the context of an n-layer classification system such as 2005 ISDA Commodity Definitions Sub Annex A or that in Table 4 of the Annex of the Comission Implementing Regulation (EU)laying down implementing technical standards for the application of Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to the standards, formats, frequency and methods and arrangements for reporting for EMIR Refit.
A coding scheme value to identify the unit of measure (e.g. Therms) 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 (e.g. GBP).
For those commodities being traded with reference to the price of a listed instrument, the exchange where that instrument is listed should be specified in the 'exchange' element.
For those commodities being traded with reference to a price distributed by a publication, that publication should be specified in the 'publication' element.
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.
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.
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.
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.
Credit quality type (e.g. 'INVG' - Investment grade; 'NIVG' - Non-investment grade; 'NOTR' - Non-rated). Classifies the risk of the security. Note: 'NOAP' - Not applicable value is indicated by the absence of the 'creditQuality' element.
The credit rating.
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.
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.
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 when a calculated value was generated.
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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