schemas.fpml-4-9.fpml-reconciliation-4-9.xsd Maven / Gradle / Ivy
A type that defines a cashflow (or set of cashflows for cross-currency swap) asserted by one of the parties.
A type that defines a cashflow (or set of cashflows for cross-currency swap) asserted by one of the parties.
A type that defines a position asserted by one of the parties.
Message for cancellation of payments to be reconciled. A message sent to indicate that previously asserted TradeCashFlows are no longer in effect. For example, this may be caused by a trade's being terminated or assigned after a TradeCashflowsAsserted message has been sent but before the payment date.
A unique identifier assigned by matching service to each set of matched cashflows.
One party element for each of the principal parties and any other party that is referenced.
Message for cancellation of payments to be reconciled. A message sent to indicate that previously asserted TradeCashFlows are no longer in effect. For example, this may be caused by a trade's being terminated or assigned after a TradeCashflowsAsserted message has been sent but before the payment date.
A unique identifier assigned by matching service to each set of matched cashflows.
One party element for each of the principal parties and any other party that is referenced.
A cashflow component with optional calculation details that explain how the cashflow amount was computed.
Payment details of this cash flow component, including currency, amount and payer/payee.
The underlyer rate or price observation(s) used to compute the amount of this cashflow component.
Identifies the notional in effect for this calculation period.
The underlyer(s) used to calculate the amount of this cashflow component. The underlyer(s) will remain unaltered from the values specified in the underlying transaction (i.e. the Fixed Rate on a Credit Default Swap).
The computed rate(s) or price(s) used to calculate the amount of this cashflow component. These computed rates or prices may include averaging and/or various types of rate treatment rules.
The period details for calculation/accrual periods that comprise this cashflow component.
The period calculation details for a calculation/accrual period. This will include information about the dates and duration of the accrual period, the rate fixing(s), the notional in effect, and the amount of the accrual.
Reference to the fixing details defined somewhere in the document.
Date that defines the beginning of the calculation period.
Date that defines the end of the calculation period.
The number of days from the adjusted effective / start date to the adjusted termination / end date calculated in accordance with the applicable day count fraction.
Reference to the fixed rate schedule's step in order to identify the calculation period fixed rate.
The specification for how the number of days between two dates is calculated for purposes of calculation of a fixed or floating payment amount and the basis for how many days are assumed to be in a year. Day Count Fraction is an ISDA term. The equivalent AFB (Association Francaise de Banques) term is Calculation Basis.
The year fraction value of the calculation period, result of applying the ISDA rules for day count fraction defined in the ISDA Annex.
If more that one calculation period contributes to a single payment amount this element specifies whether compounding is applicable, and if so, what compounding method is to be used. This element must only be included when more that one calculation period contributes to a single payment amount.
The amount of payment accrued during this accrual period. This is required only when there are multiple calculation periods within the same cashflow component, for example when the calculation period is shorter than the payment period.
Details of the computation of a computed rate or price used to calculate the amount of a cashflow component. This computed rate or price may include averaging and/or various types of rate treatment rules. The details include all of the observations, the calculation parameters, and the resulting value.
Reference to the observation details of a particular rate observation.
The value computed based on averaging the underlying observation and applying any spreads, multipliers, and cap and floors values. average or treated value computed based on the underlyer observations, following the calculation rules.
A rate multiplier to apply to the floating rate. The multiplier can be a positive or negative decimal. This element should only be included if the multiplier is not equal to 1 (one).
The ISDA Spread, if any, which applies for the calculation period. It also defines spread as price. The spread is a per annum rate, expressed as a decimal. For purposes of determining a calculation period amount, if positive the spread will be added to the floating rate and if negative the spread will be subtracted from the floating rate. A positive 10 basis point (0.1%) spread would be represented as 0.001.
The cap rate or price, if any, which applies to the floating rate for the calculation period. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain strike level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.
The floor rate or price, if any, which applies to the floating rate for the calculation period. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. The floor rate of 5% would be represented as 0.05.
A type defining a reference to a cash flow fixing component defined somewhere in the document.
An identifier used to identify a single component cashflow.
The notional/principal value/quantity/volume used to compute the cashflow.
The currency in which an amount is denominated.
The units in which an amount (not monetary) is denominated.
The quantity of notional (in currency or other units).
An observation of a rate or a price of an underlyer used in the computation of a cash flow amount.
The underlyer whose rate or price is observed. Reference to an underlyer defined within the calculationElements structure.
In cases where the underlying index is observed by observing the value of a specific security different from the index (typically a futures price), the specific security whose price was observed. For example, the underlying index might be NYMEX Crude Oil, and the underlying asset whose price is observed on a particular day might be CLU7. The index is specified via the underlyerReference, while the specific asset is specified via the underlyingAsset.
The date when the rate is observed. Corresponds to adjustedFixingDate on the Interest Rate Derivatives subschema.
The observed rate or price, together with descriptive information such as units.
The factor used to weight the observation in computing a weighted average. This is typically based on the number of days weighting to be associated with the rate observation, i.e. the number of days such rate is in effect. This is applicable in the case of a weighted average method of calculation where more than one observate date is established for a single calculation period. If omitted all observations are weighted equally. For Equity Derivatives Products it defines the basket percentage.
Reference to a cash flow obervation component.
A type that allows a position to be defined. It includes identification information (ID and version), trade information, etc.
An optional reference to a position supplied by the matching party that is known to match this one.
A payment component owed from one party to the other for the cash flow date. This payment component should by of only a single type, e.g. a fee or a cashflow from a cashflow stream.
Unique identifier for a cash flow.
Pointer-style reference to the partyTradeIdentifier block within the tradeIdentifyingItems collection, which identifies the parent trade for this cashflow.
Cash flow amount in a given currency to be paid/received.
Defines the type of cash flow. For instance, a type of fee, premium, principal exchange, leg fee.
Indicates whether it's a definition of a new portfolio (true) or an update to an existing one (false).
An identifier used to identify matched cashflows.
Message for assertion of payments to be reconciled. Notification message that submits cashflows that need to be reconciled per payment date.
A unique identifier assigned by either party, or matching service, as agreed, to each set of matched cashflows.
One party element for each of the principal parties and any other party that is referenced.
Message for sending match results. Response message that returns the status of the set of cashflows for multiple trades that have been reconciled.
Reconciliation status of the set of cashflows.
Cashflow (or set of cashflows for cross-currency swap) asserted by one of the parties.
"Other side's" cashflow that meets the minimimum matching criteria and is proposed as match to the cashflow that is being asserted.
Cashflow (or set of cashflows for cross-currency swap) asserted by the "other side's" party.
One party element for each of the principal parties and any other party that is referenced.
"Other side's" cashflow that meets the minimimum matching criteria and is proposed as match to the cash flow that is being asserted.
A unique identifier assigned by the matching service to each set of matched cashflows.
A type used to record the details of a difference between two sides of a payment.
Details on the referenced payment. e.g. Its cashflow components, settlement details.
The reference to the identified payment strucutre.
Payment details of this cash flow component, including currency, amount and payer/payee.
The information required to settle a currency payment.
An identifier used to identify a matchable payment.
A global type describing the payment exposed to the matching process, along with its gross component(s) and calculation details.
Unique identifier assigned by either party or matching service, as agreed, to a payment.
Payment amount in a given currency to be paid/received.
The set of cash flow components with calculations that comprise this payment.
The set of elements that identify a portfolio.
Reconciliation status of the position.
Position asserted by one of the parties.
"Other side's" position that meets the minimimum matching criteria and is proposed as match to the position that is being asserted.
Position asserted by the "other side's" party.
A coding scheme used to describe the matching status of a position.
A unique identifier assigned by the matching service to each set of matched positions.
A type used to record the details of a difference between two sides of a position.
A type that allows referencing a position by ID and version.
Contains the portfolio definition.
Request that a portfolio be defined, either by replacing any pre-existing definition, or by updating or removing individual positions.
Contains the portfolio definition.
Indicates whether all portfolio updates have been submitted for this as-of date
Either start from scratch and define new positions, or just update and remove positions
Indicates that this message replaces all previous positions for this portfolio.
Used to specify a new position.
Used to specify a position, whether it is a new or updated position.
Used to remove a position from the portfolio.
Reports the results of the portfolio reconciliation operation. It states the matching results for multiple positions, supporting the match, mismatched, unmatched and alleged position results.
Contains the portfolio definition.
Flag indicating whether the Matching Service has finished sending all matching results.
A type defining the content model for a message requesting a portfolio (for reconciliation purposes).
The date for which this request desires positions and valuations.
The name of the portfolio that is requested.
The name of the data set (portfolio, product type, etc.) that this request corresponds to. Describes the desired report.
Reference to a Schedule's Step.
Message for assertion of payments to be reconciled. Notification message that submits cashflows that need to be reconciled per payment date at the trade level.
A unique identifier assigned by either party, or matching service, as agreed, to each set of matched cashflows.
One party element for each of the principal parties and any other party that is referenced.
An identifier used to identify the collection of cashflows for a particular trade on a particular day.
Message for sending match results. Response message that returns the status of the set of cashflows (more than one in the case of cross-currency swaps) that have been reconciled.
Reconciliation status of the set of cashflows.
Cashflow (or set of cashflows for cross-currency swap) asserted by one of the parties.
"Other side's" cashflow that meets the minimimum matching criteria and is proposed as match to the cashflow that is being asserted.
Cashflow (or set of cashflows for cross-currency swap) asserted by the "other side's" party.
One party element for each of the principal parties and any other party that is referenced.
"Other side's" cashflow that meets the minimimum matching criteria and is proposed as match to the cash flow that is being asserted.
A unique identifier assigned by the matching service to each set of matched cashflows.
A type used to record the details of a difference between two sides of a payment.
An coding scheme used to describe the matching status of a TradeCashFlows element.
Summary trade economic details used to help identify a trade where no shared trade ID is available.
The trade date.
The earliest of all the effective dates of all constituent streams.
The latest of all of the termination dates of the constituent streams.
A classification of the type of product. FpML does not define domain values for this element.
The set of underlyers to the trade that can be used in computing the trade's cashflows. If this information is needed to identify the trade, all of the trade's underlyers should be specified, whether or not they figure into the cashflow calculation. Otherwise, only those underlyers used to compute this particular cashflow need be supplied.
The notional or notionals in effect on the last day of the last calculation period in each stream.
Data elements that can be used to identify the trade for which cashflows are being communicated. This includes both explicit trade identifiers and summary economic details.
Structure defining one or more trade identifiers allocated to the trade by a party. It is expected that for external communication of trade there will be only one tradeId sent in the document per party.
Structure that holds some trade-specific elements for identifying the trade only in the case of trades that have not been negotiated through electronic platforms and for which the counterparty's trade ID has not been captured.
The underlying asset/index/reference price etc. whose rate/price may be observed to compute the value of the cashflow. It can be an index, fixed rate, listed security, quoted currency pair, or a reference entity (for credit derivatives).
A floating rate.
The fixed rate or fixed rate schedule expressed as explicit fixed rates and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.
Define the underlying asset when it is a listed security.
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
Reference to a trade underlyer component.
Reference to the underlyer defined within the calculationElements structure.
Amount of units.
A type describing the situation when an entire position change cannot be processed. It includes the position identification information and the reason that the position change could not be processed.
Unique identifier assigned by either party to a set of cashflows.
Unique identifier assigned by either party to a set of cashflows.
A group describing the cashflows owing on a particular adjustedPaymentDate for set of trades.
A collection of structures holding a reference or references to each trade through the tradeId, and optionally some trade-specific elements for identifying the trade in the case of trades that have not been negotiated through electronic platforms, and for which the counterparty's trade ID has not been captured.
The adjusted date in which the payments are being paid/received.
Specifies the payment that is exposed to the matching process. Usually there will be a single payment but for cross-currency swaps a different payment per currency shall be provided.
A group specifying the position model without including position identification elements.
Information about the roles of the parties with respect to reporting the positions.
The components that create this position.
Position level schedule date, such as final payment dates, in a simple and flexible format.
Valuation reported for the position, such as NPV or accrued interest. The asset/object references in the valuations should refer to the deal or components of the deal in the position, e.g. legs, streams, or underlyers.
A group describing the cashflows owing on a particular adjustedPaymentDate for a specific trade.
Structure that holds reference to the trade through the tradeId and optionally some trade-specific elements for identifying the trade in the case of trades that have not been negotiated through electronic platforms and for which the counterparty's trade ID has not been captured.
The adjusted date in which the payments are being paid/received.
Specifies the payment that is exposed to the matching process. Usually there will be a single payment but for cross-currency swaps a different payment per currency shall be provided.
The date and time at which the set of cashflows was defined.
Unique identifier assigned by the party asserting the set of cashflows to be reconciled.
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