schemas.cme-cleared-confirm-1-17.fpml-enum-5-0.xsd Maven / Gradle / Ivy
The type of averaging used in an Asian option.
The average price is used to derive the strike price. Also known as "Asian strike" style option.
The average price is used to derive the expiration price. Also known as "Asian price" style option.
The average price is used to derive both the strike and the expiration price.
The method of calculation to be used when averaging rates. Per ISDA 2000 Definitions, Section 6.2. Certain Definitions Relating to Floating Amounts.
The arithmetic mean of the relevant rates for each reset date.
The arithmetic mean of the relevant rates in effect for each day in a calculation period calculated by multiplying each relevant rate by the number of days such relevant rate is in effect, determining the sum of such products and dividing such sum by the number of days in the calculation period.
When breakage cost is applicable, defines who is calculating it.
Breakage cost is calculated by the agent bank.
Breakage cost is calculated by the lender.
Defines which type of bullion is applicable for a Bullion Transaction.
Gold. Quality as per the Good Delivery Rules issued by the London Bullion Market Association.
Palladium. Quality as per the Good Delivery Rules issued by the London Platinum and Palladium Market.
Palladium. Quality as per the Good Delivery Rules issued by the London Platinum and Palladium Market.
Silver. Quality as per the Good Delivery Rules issued by the London Bullion Market Association.
Quality as per the Good Delivery Rules for Rhodium (Sponge).
The convention for adjusting any relevant date if it would otherwise fall on a day that is not a valid business day. Note that FRN is included here as a type of business day convention although it does not strictly fall within ISDA's definition of a Business Day Convention and does not conform to the simple definition given above.
The non-business date will be adjusted to the first following day that is a business day
Per 2000 ISDA Definitions, Section 4.11. FRN Convention; Eurodollar Convention.
The non-business date will be adjusted to the first following day that is a business day unless that day falls in the next calendar month, in which case that date will be the first preceding day that is a business day.
The non-business day will be adjusted to the first preceding day that is a business day.
The non-business date will be adjusted to the first preceding day that is a business day unless that day falls in the previous calendar month, in which case that date will be the first following day that us a business day.
The non-business date will be adjusted to the nearest day that is a business day - i.e. if the non-business day falls on any day other than a Sunday or a Monday, it will be the first preceding day that is a business day, and will be the first following business day if it falls on a Sunday or a Monday.
The date will not be adjusted if it falls on a day that is not a business day.
The date adjustments conventions are defined elsewhere, so it is not required to specify them here.
Shows how the transaction is to be settled when it is exercised.
The intrinsic value of the option will be delivered by way of a cash settlement amount determined, (i) by reference to the differential between the strike price and the settlement price; or (ii) in accordance with a bilateral agreement between the parties
The securities underlying the transaction will be delivered by (i) in the case of a call, the seller to the buyer, or (ii) in the case of a put, the buyer to the seller versus a settlement amount equivalent to the strike price per share
The specification of how a calculation agent will be determined.
The party that gives notice of exercise. Per 2000 ISDA Definitions, Section 11.1. Parties, paragraph (d).
The party that is given notice of exercise. Per 2000 ISDA Definitions, Section 11.1. Parties, paragraph (e).
The Calculation Agent is determined by reference to the relevant master agreement.
The unit in which a commission is denominated.
The commission is expressed in basis points, in reference to the price referenced in the document.
The commission is expressed as a percentage of the gross price referenced in the document.
The commission is expressed in cents per share.
The commission is expressed as a absolute amount.
The consequences of Bullion Settlement Disruption Events.
Negotiation will apply in the event of Bullion Settlement Disruption as per Section 10.5.(d) of the 2005 Commodity Definitions.
Cancellation and Payment will apply in the event of Bullion Settlement Disruption as per Section 10.5.(d) of the 2005 Commodity Definitions.
A day type classification used in counting the number of days between two dates for a commodity transaction.
When calculating the number of days between two dates the count includes only gas flow days (dates on which gas is delivered).
The compounding calculation method
Flat compounding. Compounding excludes the spread. Note that the first compounding period has it's interest calculated including any spread then subsequent periods compound this at a rate excluding the spread.
No compounding is to be applied.
Straight compounding. Compounding includes the spread.
Spread Exclusive compounding.
Defines whether conditions precedent have been met in a given syndicated loan deal.
Conditions precedent have been met.
Conditions precedent have not been met.
The requirement for conditions precedent were waived.
A day of the seven-day week.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
A day type classification used in counting the number of days between two dates.
When calculating the number of days between two dates the count includes only business days.
When calculating the number of days between two dates the count includes all calendar days.
When calculating the number of days between two dates the count includes only commodity business days.
When calculating the number of days between two dates the count includes only currency business days.
When calculating the number of days between two dates the count includes only stock exchange business days.
When calculating the number of days between two dates the count includes only scheduled trading days.
In respect of a Transaction and a Commodity Reference Price, the relevant date or month for delivery of the underlying Commodity.
The Delivery Date of the underlying Commodity shall be the month of expiration of the futures contract that corresponds to the month and year of the Calculation Period. e.g. The JAN 09 contract when pricing in January '09 (In the case of contracts like Brent crude, this will mean that the contract expired in DEC 08.)
The Delivery Date of the underlying Commodity shall be the month of expiration of the First Nearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the Second Nearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the Third Nearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the Sixth Nearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the Twelfth Nearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the spot date.
The ISDA defined value indicating the severity of a difference.
The ISDA defined value indicating the nature of a difference.
The method of calculating discounted payment amounts
Per ISDA 2000 Definitions, Section 8.4. Discounting, paragraph (a)
Per ISDA 2000 Definitions, Section 8.4. Discounting, paragraph (b)
The specification of how disruption fallbacks will be represented.
Refers to one on the 3 Amounts
100% of the gross cash dividend per Share paid over record date during relevant Dividend Period
100% of gross cash dividend per Share paid after the Ex Div date during relevant Dividend Period.
100% of gross cash dividend per Share paid during relevant Dividend Period.
The Amount is determined as provided in the relevant Master Confirmation.
Defines how the composition of dividends is to be determined.
The Equity Amount Receiver determines the composition of dividends (subject to conditions).
The Calculation Agent determines the composition of dividends (subject to conditions).
The reference to a dividend date.
Date on which a holder of the security is entitled to the dividend.
Date on which the dividend will be paid by the issuer.
Date on which the dividend will be recorded in the books of the paying agent.
Termination date of the swap.
Equity payment date of the swap.
The next payment date of the swap.
The dividend date will be specified ad hoc by the parties, typically on the dividend ex-date
Total of paid dividends, paid on next following Cash Settlement Payment Date, which is immediately following the Dividend Period during which the dividend is paid by the Issuer to the holders of record of a Share.
Total of paid dividends, paid on next following Payment Date, which is immediately following the Dividend Period during which the dividend is paid by the Issuer to the holders of record of a Share.
Total of dividends which go ex, paid on next following Cash Settlement Payment Date, which is immediately following the Dividend Period during which the Shares commence trading ex-dividend on the Exchange
Total of dividends which go ex, paid on next following Payment Date, which is immediately following the Dividend Period during which the Shares commence trading ex-dividend on the Exchange, or where the date on which the Shares commence trading ex-dividend is a Payment Date, such Payment Date.
If "Dividend Payment Date(s)" is specified in the Transaction Supplement as "Share Payment", then the Dividend Payment Date in respect of a Dividend Amount shall fall on a date on or before the date that is two (or any other number that is specified in the Transaction Supplement) Currency Business Days following the day on which the Issuer of the Shares pays the relevant dividend to holders of record of the Shares
If "Dividend Payment Date(s)" is specified in the Transaction Supplement as "Cash Settlement Payment Date", then the Dividend Payment Date in respect of a Dividend Amount shall be the Cash Settlement Payment Date relating to the end of the Dividend Period during which the Shares commenced trading "ex" the relevant dividend on the Exchange
If "Dividend Payment Date(s)" is specified in the Transaction Supplement as "Floating Amount Payment Date", then the Dividend Payment Date in respect of a Dividend Amount shall be the first Payment Date falling at least one Settlement Cycle after the date that the Shares have commenced trading "ex" the relevant dividend on the Exchange.
If "Dividend Payment Date(s)" is specified in the Transaction Supplement as "Cash Settlement Payment Date – Ex Dividend", then the Dividend Payment Date in respect of a Dividend Amount shall be the Cash Settlement Payment Date relating to the end of the Dividend Period during which the Shares commenced trading “ex” the relevant dividend on the Exchange.
If "Dividend Payment Date(s)" is specified in the Transaction Supplement as "Cash Settlement Payment Date – Issuer Payment", then the Dividend Payment Date in respect of a Dividend Amount shall be the Cash Settlement Payment Date relating to the end of the Dividend Period during which the issuer pays the relevant dividend to a holder of record provided that in the case where the Equity Amount Payer is the party specified to be the sole Hedging Party and the Hedging Party has not received the Dividend Amount by such date, then the date falling a number of Currency Business Days as specified in the Cash Settlement Payment Date after actual receipt by the Hedging Party of the Received Ex Amount or Paid Ex Amount (as applicable).
The date on which the receiver of the equity return is entitled to the dividend.
Dividend entitlement is on the dividend ex-date.
Dividend entitlement is on the dividend record date.
Defines the First Period or the Second Period, as specified in the 2002 ISDA Equity Derivatives Definitions.
"First Period" per the 2002 ISDA Equity Derivatives Definitions will apply.
"Second Period" per the 2002 ISDA Equity Derivatives Definitions will apply.
When breakage cost is applicable, defines who is calculating it.
Event triggered by the borrower requesting a new loan contract against an existing facility with the agent bank. The agent will receive the borrower notice, calculate the amount of principal due from each lender based on their respective share of the underlying commitment and send loan contract notices to the lenders.
This is a notice that defines when the actual underlying base rate is set for the loan contract period.
This is a notice that defines when the exchange rate is set for the loan contract period. Applicable only for multicurrency loan contracts.
The type of electricity product.
The specification of how an OTC option will be exercised.
Option can be exercised on any date up to the expiry date.
Option can be exercised on specified dates up to the expiry date.
Option can only be exercised on the expiry date.
Defines the fee type.
The product of (i) the Break Fee Rate multiplied by (ii) the Equity Notional Amount corresponding to the Early Termination Portion.
The product of (i) the Break Fee Rate multiplied by (ii) the Equity Notional Amount corresponding to the Early Termination Portion multiplied by (iii) the number of days from the Early Termination Date to the later of the Termination Date or the Cash Settlement Payment Date corresponding to the latest Valuation Date.
The product of (i) the Equity Notional Amount corresponding to the Early Termination Portion multiplied by (ii) the Break Funding Rate multiplied by (iii) the number of days from the Early Termination Date to the next scheduled Reset Date divided by (iv) a number equivalent to the denominator of the Day Count Fraction applicable to the Floating Rate Option.
Both Flat Fee and Funding Fee are applicable.
Amortized Fee and Funding Fee are applicable.
The method by which the Flat Rate is calculated for a commodity freight transaction.
The Flat Rate will be the New Worldwide Tanker Nominal Freight Scale for the Freight Index Route for the Trade Date for the transaction.
The Flat Rate for each Pricing Date will be the New Worldwide Tanker Nominal Freight Scale for the Freight Index Route for the Pricing Date..
The method of FRA discounting, if any, that will apply.
"FRA Discounting" per the ISDA Definitions will apply.
FRA discounting per the Australian Financial Markets Association (AFMA) OTC Financial Product Conventions will apply.
No discounting will apply.
The schedule frequency type
Day is the unit of frequency.
TBD
The specification of whether a barrier within an FX OTC option is a knockin or knockout, as well as whether it is a standard barrier or a reverse barrier.
Option exists once the barrier is hit. The trigger rate is out-of-the money in relation to the strike rate.
Option ceases to exist once the barrier is hit. The trigger rate is out-of the-money in relation to the strike rate.
Option exists once the barrier is hit. The trigger rate is in-the money in relation to the strike rate.
Option ceases to exist once the barrier is hit. The trigger rate is in-the money in relation to the strike rate.
The type of gas product.
The specification of the consequences of Index Events.
Calculation Agent Adjustment
Negotiated Close Out
Cancellation and Payment
Related Exchange Adjustment
>Defines whether agent bank is making an interest payment based on the lender pro-rata share at the end of the period or based on the lender position throughout the period. Agent Banks decide which way to calculate the interest for a deal.
Agent bank is making an interest payment based on the lender pro-rata share.
Agent bank is making an interest payment based on the lender position throughout the period.
>Defines the options of paying interest with repayment.
Interest is not payed with repayment.
Interest is payed with repayment. Interest accrual amount is based on lender loan contract share amount.
Interest is payed with repayment. Interest accrual amount is based on lender share repayment amount.
The specification of the interest shortfall cap, applicable to mortgage derivatives.
Defines applicable periods for interpolation.
Interpolation is applicable to the initial period only.
Interpolation is applicable to the initial and final periods only.
Defines the purpose of a Letter of Credit.
Defines the type of a Letter of Credit.
Used for indicating the length unit in the Resource type.
Defines whether the lender is accepting in full, partially accepting or denying repayment.
Lender is accepting the repayment in full.
Lender is partially accepting the repayment.
Lender is denying the repayment.
The specification of how market disruption events will be represented.
Market Disruption Events are applicable.
Market Disruption Events are not applicable.
The Market Disruption Event(s) are determined by reference to the relevant master agreement.
Defines how adjustments will be made to the contract should one or more of the extraordinary events occur.
The Calculation Agent has the right to adjust the terms of the trade following a corporate action.
The trade will be adjusted in accordance with any adjustment made by the exchange on which options on the underlying are listed.
Defines the consequences of nationalisation, insolvency and delisting events relating to the underlying.
The parties may, but are not obliged, to terminate the transaction on mutually acceptable terms and if the terms are not agreed then the transaction continues.
The trade is terminated.
The method of calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).
Negative Interest Rate Method. Per 2000 ISDA Definitions, Section 6.4 Negative Interest Rates, paragraphs (b) and (c).
Zero Interest Rate Method. Per 2000 ISDA Definitions, Section 6.4. Negative Interest Rates, paragraphs (d) and (e).
Defines treatment of non-cash dividends.
The treatment of any non-cash dividend shall be determined in accordance with the Potential Adjustment Event provisions.
Any non-cash dividend shall be treated as a Declared Cash Equivalent Dividend.
The conditions that govern the adjustment to the number of units of the equity swap.
The adjustments to the number of units are governed by an execution clause.
The adjustments to the number of units are governed by a portfolio rebalancing clause.
The adjustments to the number of units are not governed by any specific clause.
Used in both the obligations and deliverable obligations of the credit default swap to represent a class or type of securities which apply.
ISDA term "Payment".
ISDA term "Borrowed Money".
ISDA term "Reference Obligations Only".
ISDA term "Bond".
ISDA term "Loan".
ISDA term "Bond or Loan".
The list of oneOff fee types associated with a facility.
A fee charged to the borrower for an amendment being made to the originally agreed credit agreement. The fee is based on a rate (as stated in the agreement) applied to the current commitment level.Calculated as a percentage of the unutilized portion of the facility.
Calculated as a percentage of the unutilized portion of the facility.
This fee represents any fee paid by the borrower to the syndicate lenders for extending an existing facility.
Fee associated with the funding requirements for given facility.
Calculated as the cost of breaking financing on a loan contract which is repaid early.
This fee is also known as Participation Fee, Arrangement Fee etc. This fee represents compensation to the members of the lending syndicate (and sometimes to institutional investors as well) in return for their commitment of capital.
This fee represents any fee paid by the borrower to the syndicate lenders / agent bank for accepting /processing waiver request. Waiver request is sent by the borrower to obtain approval from the syndicate lenders for any of their requirement, which is outside the terms of the agreement.
The list of accruing fee types associated with a facility.
Calculated as a percentage of the unutilized portion of the facility.
Calculated as a percentage of the utilized portion of the facility. This fee type is subject to banding rules – different portions of the utilization amount may be subject to different percentages.
Calculated as a percentage of the global commitment amount of a facility.
An on-going fee charged for the issuance of a letter of credit to a named beneficiary, on behalf of the borrower against a facility. The fee calculation is based on the percentage of the notional value of the letter of credit.
Specifies the type of the option.
A payer option
A receiver option
A straddle strategy.
The specification of an interest rate stream payer or receiver party.
The party identified as the stream payer.
The party identified as the stream receiver.
The specification of how an FX OTC option with a trigger payout will be paid if the trigger condition is met. The contract will specify whether the payout will occur immediately or on the original value date of the option.
If the trigger is hit, the option payout will not be paid now but will be paid on the value date of the original option.
If the trigger is hit, the option payout will be paid immediately (i.e., spot from the payout date).
The specification of whether payments occur relative to the calculation period start or end date, or the reset date.
Payments will occur relative to the first day of each calculation period.
Payments will occur relative to the last day of each calculation period.
Payments will occur relative to the last Pricing Date of each Calculation Period.
Payments will occur relative to the reset date.
Payments will occur relative to the valuation date.
The specification of a time period
Day.
Week.
Month.
Year.
The specification of a time period containing additional values such as Term.
Term. The period commencing on the effective date and ending on the termination date. The T period always appears in association with periodMultiplier = 1, and the notation is intended for use in contexts where the interval thus qualified (e.g. accrual period, payment period, reset period, ...) spans the entire term of the trade.
The specification of how the premium for an FX OTC option is quoted.
Premium is quoted as a percentage of the callCurrencyAmount.
Premium is quoted as a percentage of the putCurrencyAmount.
Premium is quoted in the call currency as a percentage of the put currency.
Premium is quoted in the put currency as a percentage of the call currency.
Premium is quoted as an explicit amount.
Premium Type for Forward Start Equity Option
TODO
TODO
TODO
TODO
The mode of expression of a price.
The price is expressed as an absolute amount.>
The price is expressed in percentage of the notional amount.
Specifies whether the option is a call or a put.
A put option gives the holder the right to sell the underlying asset by a certain date for a certain price.
A call option gives the holder the right to buy the underlying asset by a certain date for a certain price.
The specification of the type of quotation rate to be obtained from each cash settlement reference bank.
A bid rate.
An ask rate.
A mid-market rate.
If optional early termination is applicable to a swap transaction, the rate, which may be a bid or ask rate, which would result, if seller is in-the-money, in the higher absolute value of the cash settlement amount, or, is seller is out-of-the-money, in the lower absolute value of the cash settlement amount.
The side from which perspective a value is quoted.
A value "bid" by a buyer for an asset, i.e. the value a buyer is willing to pay.
A value "asked" by a seller for an asset, i.e. the value at which a seller is willing to sell.
A value midway between the bid and the ask value.
Indicates the actual quotation style of of PointsUpFront or TradedSpread that was used to quote this trade.
When quotation style is "PointsUpFront", the initialPoints element of the feeLeg should be populated.
When quotation style is "TradedSpread", the marketFixedRate element of the feeLeg should be populated.
How an exchange rate is quoted.
The amount of currency1 for one unit of currency2
The amount of currency2 for one unit of currency1
The specification of methods for converting rates from one basis to another.
Bond Equivalent Yield. Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 7.3. Certain General Definitions Relating to Floating Rate Options, paragraph (g).
Money Market Yield. Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 7.3. Certain General Definitions Relating to Floating Rate Options, paragraph (h).
The contract specifies whether which price must satisfy the boundary condition.
For a return on day T, the observed price on T-1 must be in range.
For a return on day T, the observed price on T must be in range.
For a return on day T, the observed prices on both T and T-1 must be in range
The specification of whether resets occur relative to the first or last day of a calculation period.
Resets will occur relative to the first day of each calculation period.
Resets will occur relative to the last day of each calculation period.
The type of return associated with the equity swap.
Dividend return swap.
Price return swap.
Total return swap.
The convention for determining the sequence of calculation period end dates. It is used in conjunction with a specified frequency and the regular period start date of a calculation period, e.g. semi-annual IMM roll dates.
Rolls on month end dates irrespective of the length of the month and the previous roll day.
Roll days are determined according to the FRN Convention or Eurodollar Convention as described in ISDA 2000 definitions.
IMM Settlement Dates. The third Wednesday of the (delivery) month.
The last trading day/expiration day of the Canadian Derivatives Exchange (Bourse de Montreal Inc) Three-month Canadian Bankers' Acceptance Futures (Ticker Symbol BAX). The second London banking day prior to the third Wednesday of the contract month. If the determined day is a Bourse or bank holiday in Montreal or Toronto, the last trading day shall be the previous bank business day. Per Canadian Derivatives Exchange BAX contract specification.
The last trading day of the Sydney Futures Exchange 90 Day Bank Accepted Bills Futures contract (see http://www.sfe.com.au/content/sfe/trading/con_specs.pdf). One Sydney business day preceding the second Friday of the relevant settlement month.
The last trading day of the Sydney Futures Exchange NZ 90 Day Bank Bill Futures contract (see http://www.sfe.com.au/content/sfe/trading/con_specs.pdf). The first Wednesday after the ninth day of the relevant settlement month.
Sydney Futures Exchange 90-Day Bank Accepted Bill Futures Settlement Dates. The second Friday of the (delivery) month.
The roll convention is not required. For example, in the case of a daily calculation frequency.
13-week and 26-week U.S. Treasury Bill Auction Dates. Each Monday except for U.S. (New York) holidays when it will occur on a Tuesday.
Rolls on the 1st day of the month.
Rolls on the 2nd day of the month.
Rolls on the 3rd day of the month.
Rolls on the 4th day of the month.
Rolls on the 4th day of the month.
Rolls on the 6th day of the month.
Rolls on the 7th day of the month.
Rolls on the 8th day of the month.
Rolls on the 9th day of the month.
Rolls on the 10th day of the month.
Rolls on the 11th day of the month.
Rolls on the 12th day of the month.
Rolls on the 13th day of the month.
Rolls on the 14th day of the month.
Rolls on the 15th day of the month.
Rolls on the 16th day of the month.
Rolls on the 17th day of the month.
Rolls on the 18th day of the month.
Rolls on the 19th day of the month.
Rolls on the 20th day of the month.
Rolls on the 21st day of the month.
Rolls on the 22nd day of the month.
Rolls on the 23rd day of the month.
Rolls on the 24th day of the month.
Rolls on the 25th day of the month.
Rolls on the 26th day of the month.
Rolls on the 27th day of the month.
Rolls on the 28th day of the month.
Rolls on the 29th day of the month.
Rolls on the 30th day of the month.
Rolling weekly on a Monday.
Rolling weekly on a Tuesday.
Rolling weekly on a Wednesday.
Rolling weekly on a Thursday.
Rolling weekly on a Friday.
Rolling weekly on a Saturday.
Rolling weekly on a Sunday.
The method of rounding a fractional number.
A fractional number will be rounded up to the specified number of decimal places (the precision). For example, 5.21 and 5.25 rounded up to 1 decimal place are 5.3 and 5.3 respectively.
A fractional number will be rounded down to the specified number of decimal places (the precision). For example, 5.29 and 5.25 rounded down to 1 decimal place are 5.2 and 5.2 respectively.
A fractional number will be rounded either up or down to the specified number of decimal places (the precision) depending on its value. For example, 5.24 would be rounded down to 5.2 and 5.25 would be rounded up to 5.3 if a precision of 1 decimal place were specified.
Defines the Settlement Period Duration for an Electricity Transaction.
Two-hourly duration applies.
Hourly duration applies.
Half-hourly duration applies.
Quarter-hourly duration applies.
Shows how the transaction is to be settled when it is exercised.
Allow Election of either Cash or Physical settlement
Defines the consequences of extraordinary events relating to the underlying.
The trade continues such that the underlying now consists of the New Shares and/or the Other Consideration, if any, and the proceeds of any redemption, if any, that the holder of the underlying Shares would have been entitled to.
The trade is cancelled and a cancellation fee will be paid by one party to the other.
The trade will be adjusted by the Calculation Agent in accordance with the adjustments made by any exchange on which options on the underlying are listed.
The Calculation Agent will determine what adjustment is required to offset any change to the economics of the trade. If the Calculation Agent cannot achieve this, the trade goes to Cancellation and Payment with the Calculation Agent deciding on the value of the cancellation fee. Adjustments may not be made to account solely for changes in volatility, expected dividends, stock loan rate or liquidity.
The Calculation Agent will determine what adjustment is required to offset any change to the economics of the trade. If the Calculation Agent cannot achieve this, the trade goes to Cancellation and Payment with the Calculation Agent deciding on the value of the cancellation fee. Adjustments to account for changes in volatility, expected dividends, stock loan rate or liquidity are allowed.
Applies to Basket Transactions. The portion of the Basket made up by the affected Share will be cancelled and a cancellation fee will be paid from one party to the other. The remainder of the trade continues.
If this is a Share-for-Combined merger event (Shares are replaced with New Shares and Other Consideration), then different treatment can be applied to each component if the parties have specified this.
The specification of how an individual currency in an FX trade is quoted relative to the base currency.
The amount of the exchangedCurrency1 for one unit of baseCurrency.
The amount of the baseCurrency for one unit of exchangedCurrency1.
The amount of the exchangedCurrency2 for one unit of baseCurrency.
The amount of the baseCurrency for one unit of exchangedCurrency2.
The Specified Price in respect of a Transaction and a Commodity Reference Price.
The Specified Price shall be the Afternoon fixing reported in or by the relevant Price Source as specified in the relevant Confirmation.
The Specified Price shall be the Ask price reported in or by the relevant Price Source as specified in the relevant Confirmation.
The Specified Price shall be the Bid price reported in or by the relevant Price Source as specified in the relevant Confirmation.
The Specified Price shall be the Closing price reported in or by the relevant Price Source as specified in the relevant Confirmation.
The Specified Price shall be the High price reported in or by the relevant Price Source as specified in the relevant Confirmation.
The Specified Price shall be the Index price reported in or by the relevant Price Source as specified in the relevant Confirmation.
The Specified Price shall be the Average of the Bid and Ask prices reported in or by the relevant Price Source as specified in the relevant Confirmation.
The Specified Price shall be the Low price reported in or by the relevant Price Source as specified in the relevant Confirmation.
The Specified Price shall be the Average of the High and Low prices reported in or by the relevant Price Source as specified in the relevant Confirmation.
The Specified Price shall be the Morning fixing reported in or by the relevant Price Source as specified in the relevant Confirmation.
The Specified Price shall be the Official price reported in or by the relevant Price Source as specified in the relevant Confirmation.
The Specified Price shall be the Opening price reported in or by the relevant Price Source as specified in the relevant Confirmation.
The Specified Price shall be the Official Settlement Price reported in or by the relevant Price Source as specified in the relevant Confirmation.
The Specified Price shall be the Settlement price reported in or by the relevant Price Source as specified in the relevant Confirmation.
The Specified Price shall be the Spot price reported in or by the relevant Price Source as specified in the relevant Confirmation.
The code specification of whether a trade is settling using standard settlement instructions as well as whether it is a candidate for settlement netting.
This trade will settle using standard pre-determined funds settlement instructions.
This trade is a candidate for settlement netting.
This trade will settle using standard pre-determined funds settlement instructions and is a candidate for settlement netting.
The specification of whether a percentage rate change, used to calculate a change in notional outstanding, is expressed as a percentage of the initial notional amount or the previously outstanding notional amount.
Change in notional to be applied is calculated by multiplying the percentage rate by the initial notional amount.
Change in notional to be applied is calculated by multiplying the percentage rate by the previously outstanding notional amount.
Element to define how to deal with a none standard calculation period within a swap stream.
If there is a non regular period remaining it is left shorter than the streams calculation period frequency and placed at the start of the stream
If there is a non regular period remaining it is left shorter than the streams calculation period frequency and placed at the end of the stream
If there is a non regular period remaining it is placed at the start of the stream and combined with the adjacent calculation period to give a long first calculation period
If there is a non regular period remaining it is placed at the end of the stream and combined with the adjacent calculation period to give a long last calculation period
The specification of how an FX OTC option strike price is quoted.
The strike price is an amount of putCurrency per one unit of callCurrency.
The strike price is an amount of callCurrency per one unit of putCurrency.
Defines points in the day when equity option exercise and valuation can occur.
The official closing time of the exchange on the valuation date.
The official opening time of the exchange on the valuation date.
The time at which the official settlement price is determined.
The time specified in the element equityExpirationTime or valuationTime (as appropriate)
The time at which the official settlement price (following the auction by the exchange) is determined by the exchange.
The official closing time of the derivatives exchange on which a derivative contract is listed on that security underlyer.
The time is determined as provided in the relevant Master Confirmation.
The time of day which would be considered for valuing the knock event.
The close of trading on a day would be considered for valuation.
At any time during the Knock Determination period (continuous barrier).
The specification of whether an option would trigger or expire depending upon whether the spot rate is above or below the barrier rate.
The underlyer price must be equal to or less than the Trigger level.
The underlyer price must be equal to or greater than the Trigger level.
The underlyer price must be equal to the Trigger level.
The underlyer price must be less than the Trigger level.
The underlyer price must be greater than the Trigger level.
The specification of, for American-style digitals, whether the trigger level must be touched or not touched.
The spot rate must have touched the predetermined trigger rate at any time over the life of the option for the payout to occur.
The spot rate has not touched the predetermined trigger rate at any time over the life of the option for the payout to occur.
The specification of whether a payout will occur on an option depending upon whether the spot rate is above or below the trigger rate.
The spot rate must be greater than or equal to the trigger rate.
The spot rate must be less than or equal to the trigger rate.
The ISDA defined methodology for determining the final price of the reference obligation for purposes of cash settlement.
The specification of a weekly roll day.
13-week and 26-week U.S. Treasury Bill Auction Dates. Each Monday except for U.S. (New York) holidays when it will occur on a Tuesday.
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