schemas.fpml-5-10.confirmation.fpml-enum-5-10.xsd Maven / Gradle / Ivy
The type of automatic adjustment that a Letter of Credit can exhibit.
The accrual is calculated using the facility commitment amount as the reference amount.
The accrual is calculated using the facility total funded amount as the reference amount.
The accrual is calculated using another type of (calculated) reference amount.
The accrual is calculated using the total facility unfunded amount as the reference amount. The unfunded amount refers to the amount of commitment which has been utilized with unfunded products (e.g. L/Cs).
The accrual is calculated using the facility total unutilized amount as the reference amount. The unutilized amount refers to the amount of commitment which has not yet been borrowed.
The accrual is calculated using the facility total utilized amount as the reference amount. The utilized amount includes both funded and unfunded borrowings.
The type of adjustment applied to any amount.
Denotes an decrease.
Denotes an increase.
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, this 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.
DEPRECATED value which will be removed in FpML-6-0 onwards. Quality as per the Good Delivery Rules for Rhodium (Sponge) is too specific.
Quality as per the Good Delivery Rules for Iridium.
Quality as per the Good Delivery Rules for Ruthenium.
Quality as per the Good Delivery Rules for Osmium.
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.
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 Calculation Agent is determined by reference to the relevant standard terms supplement.
Both parties with joined rights to be a calculation agent.
Describes the date source calendar for a contract whereby the prices are from the underlying commodity price source (e.g. exchange traded futures contract), but the dates are based off another calendar (e.g. the listed option on the futures contract).
Pricing Dates (based off of listed options dates) in respect of each Calculation Period, the last Commodity Business Day on which the relevant Options Contract is scheduled to trade on the Exchange.
Pricing Dates (based off of futures dates) in respect of each Calculation Period, the last Commodity Business Day on which the relevant Futures Contract is scheduled to trade on the Exchange.
Denotes the method of collateral value allocation
The amount that is being allocated from a buffer account. A buffer account is meant to hold funds that the FCM can use to cover the liability of any client. In effect, the FCM has provided funds that are available to meet its customers’ needs and the DCO may use such collateral to meet a default by a customer to the same extent as if the customer provided the collateral.
The full amount is being allocated
The allocated amount is an excess over the margin requirement
The allocated amount for margin requirement
Identifies a party to the on-demand repo transaction that has a right to demand for termination of the repo transaction.
Initial buyer to the repo transaction.
Initial seller to the repo transaction.
Either, Buyer or Seller to the repo transaction.
As defined in 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 days that are starting from the end of the prior nearby futures/option contract through the nearby futures/option contract as specified in the message. For example: If referring to the Z21 WTI contract, first day of this type will be 21-Oct-21 and the last day of this type will be 19-Nov-21.
Barrier Knock In or Out.
Option is exercisable.
Option is not exercisable.
The Commodity specification of whether payments occur relative e.g. to the Trade Date, or the end of the month, etc.
Payments will occur relative to the Calculation Date.
Payments will occur relative to the end of the month date for Calculation Periods which do not end on the last day of the month.
Payments will occur relative to the start of the month date for Calculation Periods which do not begin on the first day of the month.
Payments will occur relative to the Effective Date of the contract.
Payments will occur relative to the end of the month date for the month in which Pricing Days occur.
Payments will occur relative to the Termination Date of a swap or the last Expiration Date of an option.
Payments will occur relative to the Trade Date.
Payments will occur relative to end of each week relative to the pricing period.
Payments will occur relative to the first pricing date of each calculation period.
Defines the value of the commodity return calculation formula as simple or compound. The simple return formula is: [ [P sub t - P sub (t-1)] / [P sub (t-1)] ] - 1 where: P sub t is the price or index level at time period t and P sub t-1 is the price or index level in time period t-1. The compound return formula is the geometric average return for the period: PI from d=1 to d=n [ [ [ [P sub t - P sub (t-1)] / [P sub (t-1)] ] + 1] sup (1 / n) ] - 1 where: PI is the product operator, p sub t is the price or index level at time period t, p sub t -1 is the price or index level at time period t-1
The value is when the cash settlement amount is the simple formula: Notional Amount * ((Index Level sub d / Index Level sub d-1) - 1). That is, when the cash settlement amount is the Notional Amount for the calculation period multiplied by the ratio of the index level on the reset date/valuation date divided by the index level on the immediately preceding reset date/valuation date minus one.
The value is when the cash settlement amount is the compound formula:
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 a condition when an event applies.
The event rate must be greater than or equal to the specified trigger rate.
The event rate must be less than or equal to the specified trigger rate.
The event rate must be greater than the specified trigger rate.
The event rate must be less than the specified trigger rate.
Defines whether conditions precedent have been met in a given syndicated loan deal.
Conditions precedent have not been met.
The requirement for conditions precedent were waived.
Conditions precedent have been met.
A day of the seven-day week.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
A day of the seven-day week, plus codes for weekends and weekdays.
Weekdays
Weekends
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.
Deprecated: 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 Fourth Nearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the Fifth 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 Seventh Nearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the Eighth Nearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the Ninth Nearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the Tenth Nearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the Eleventh 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 month of expiration of the Thirteenth Nearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the Fourteenth Nearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the FifteenthNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the SixteenthNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the SeventeenthNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the EighteenthNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the NineteenthNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the TwentiethNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the TwentyFirstNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the TwentySecondNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the TwentyThirdNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the TwentyFourthNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the TwentyFifthNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the TwentySixthNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the TwentySeventhNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the TwentyEighthNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the TwentyNinthNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the ThirtiethNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the ThirtyFirstNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the ThirtySecondNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the ThirtyThirdNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the ThirtyFourthNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the ThirtyFifthNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the ThirtySixthNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the ThirtySeventhNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the ThirtyEighthNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the ThirtyNinthNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the FortiethNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the FortyFirstNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the FortySecondNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the FortyThirdNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the FortyFourthNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the FortyFifthNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the FortySixthNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the FortySeventhNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the FortyEighthNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the FortyNinthNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the FiftiethNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the FiftyFirstNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the FiftySecondNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the FiftyThirdNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the FiftyFourthNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the FiftyFifthNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the FiftySixthNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the FiftySeventhNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the FiftyEighthNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the month of expiration of the FiftyNinthNearby Month futures contract.
The Delivery Date of the underlying Commodity shall be the Spot date.
The Delivery Date of the underlying Commodity shall be during the First Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Second Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Third Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Fourth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Fifth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Sixth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Seventh Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Eighth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Ninth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Tenth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Eleventh Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Twelfth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Thirteenth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Fourteenth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Fifteenth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Sixteenth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Seventeenth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Eighteenth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Nineteenth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Twentieth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Twenty First Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Twenty Second Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Twenty Third Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Twenty Fourth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Twenty Fifth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Twenty Sixth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Twenty Seventh Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Twenty Eighth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Twenty Ninth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Thirtieth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Thirty First Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Thirty Second Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Thirty Third Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Thirty Fourth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Thirty Fifth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Thirty Sixth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Thirty Seventh Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Thirty Eighth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Thirty Ninth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Fortieth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Forty First Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Forty Second Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Forty Third Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Forty Fourth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Forty Fifth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Forty Sixth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Forty Seventh Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Forty Eighth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Forty Ninth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Fiftieth Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Fifty First Nearby Week.
The Delivery Date of the underlying Commodity shall be during the Fifty Second Nearby Week.
The type of nearby qualifier, expect to be used in conjunction with a nearby count.
Describes the contract to be the contract that pertains to the month-year of the calculation period. If used, the nearby count is expected to be 0.
The Delivery Date of the underlying Commodity shall be the month of expiration of the futures contract.
The Delivery Date of the underlying Commodity shall be the Week of expiration of the futures contract.
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)
Per ISDA 2000 Definitions, Section 8.4. Discounting, paragraph (e)
The specification of how disruption fallbacks will be represented.
The Disruption Fallback(s) are determined by reference to the relevant Master Agreement.
The Disruption Fallback(s) are determined by reference to the relevant Confirmation.
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.
In respect of each Dividend Period, number of days offset from the relevant Dividend Valuation Date.
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).
If "Dividend Payment Date(s)" is specified in the Transaction Supplement as "Ex-dividend Payment Date", then the Dividend Payment Date in respect of a Dividend Amount shall be the number of Currency Business Days as provided in the Transaction Supplement following the day on which the Shares commence trading ‘ex’ on the Exchange.
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.
A type which permits the Dual Currency strike quote basis to be expressed in terms of the deposit and alternate currencies.
Symbolic specification of early termination date.
The type of electricity product.
Upon the occurrence of an Abandonment of Scheme, as defined in clause (h)(iv) of the Emissions Annex, one of the following elections, the specific terms of which are set forth in clause (b)(iii) of the Emissions Annex, will govern the parties’ rights and obligations with respect to this Emissions Transaction. If none of the above options is selected, Option A(1) will apply.
Abandonment of Scheme constitutes an Additional Termination Event.
Abandonment of Scheme entails no further obligations.
The applicability of Abandonment of Scheme to Emissions Transactions is set forth in the applicable Confirmation.
The applicability of Abandonment of Scheme does not apply.
Environmental Product (e.g. allowance, certificate or unit).
For EU Emissions Allowance Transactions: An EU Emissions Allowance.
For EU Emissions Allowance Transactions: An EU Emissions Credit.
For EU Emissions Allowance Transactions: An EU Alternative Allowance.
For US Emissions Allowance Transactions: A limited authorization issued by the state permitting authority or the US Environmental Protection Agency (EPA) to emit certain amounts of nitrogen oxides (Nox).
For US Emissions Allowance Transactions: A emissions allowance or emissions reduction credit issued under a mult-state or provincial or other cap-and-trade Scheme.
For US Emissions Allowance Transactions: A limited authorization issued by the RGGI scheme permitting the emission of certain amounts of carbon dioxide.
For US Emissions Allowance Transactions: A limited authorization issued by the U.S. Environmental Protection Agency (EPA) to emit a certain amount of sulfur dioxide.
For US Emissions Allowance Transactions: Any emissions allowance or emission reduction credit created and promulgated under a U.S. state Scheme.
For US Emissions Allowance Transactions: Any emissions allowance, emission credit, emissions offset or emissions reduction credit created or issued under a voluntary Scheme.
For US Renewable Energy Certificate Transactions: A Renewable Energy Certificate (“REC”) represents the environmental, social and other non-power qualities of generation of 1 megawatt-hour (MWh) of electricity from an eligible renewable energy resource.
Australia Green Energy: Australian Carbon Credit Unit.
Australia Green Energy: Australian Carbon Unit.
Australia Green Energy: Energy Savings Certificate.
Australia Green Energy: Large-scale Generation Certificate.
Australia Green Energy: Small-scale Technology Certificate.
Australia Green Energy: Victorian Energy Efficiency Certificate.
Mexico CCFE CRT INTLODS Physical Certificates.
New Zealand Emissions Units.
United Kingdom Ofgem Renewable Obligation Certificate.
Specifies an additional Forward type.
DEPRECATED value which will be removed in FpML-5-0 onwards A forward contract is an agreement to buy or sell the underlying asset at a certain future time for a certain price.
The specification of whether an OTC option will be exercised.
The option was or is to be exercised fully.
The option was or is to be exercised partially. The amount of the exercise is specified elsewhere in the document than in the exercise amount; for example, in the case of a physical exercise the size of the resulting trade is the same as the amount that was exercise, so if it is specified it is not necessary to specify the amount of the partial exercise.
The option was or is to be allowed to expire without being exercised, i.e. it is being abandoned.
The specification of which of the pay-side or the receive-side should be exercised when a straddle is exercised.
A "payer" option: If you buy a "payer" option you have the right but not the obligation to enter into the underlying swap transaction as the "fixed" rate/price payer and receive float.
A receiver option: If you buy a "receiver" option you have the right but not the obligation to enter into the underlying swap transaction as the "fixed" rate/price receiver and pay float.
When a requested option exercise event is desired to be performed.
Perform the requested exercise behavior immediately on receipt of the request.
Perform the requested exercise behavior at the expiration of the option.
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..
Specifies the fallback provisions in respect to the applicable Futures Price Valuation.
In respect of the Early Final Valuation Date, the provisions for FPV Close shall apply.
In respect of the Early Final Valuation Date, the provisions for FPV Hedge Execution shall apply.
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. Note: Should not be used for a FRA trade documented under a legal framework where the 2006 ISDA Definitions have been incorporated.
No discounting will apply.
Per ISDA 2006 Definitions, Section 8.4. Discounting, paragraph (e)
The type of a knockout barrier used in an accrual product (e.g. American or European)
If the barrier is triggered, the accrual process for that period stops. The parties retain the underlying settlement rights for that period with the currently accrued notional.
If the barrier is triggered, the accrual process for that period stops. No settlement occurs for that period.
Average calculation method e.g. Arithmetic, Harmonic)
Arithmetic method of average calculation.
Harmonic method of average calculation.
The specification of whether the direction of a barrier within an FX OTC option is Down or Up.
The barrier is triggered if the observed rate is at or below the barrier level during the period of observation, or at the time of observation.
The barrier is triggered if the observed rate is at or above the barrier level during the period of observation, or at the time of observation.
The specification of whether a barrier has effect for the current expiry period, or globally to the whole product.
The barrier has effect for the expiry period in which it is triggered, and all subsequent periods.
The barrier has effect only for the expiry period in which it is triggered.
Defines the barrier observation style i.e. continuous (American) or discrete (Euriopean).
The barrier is observed continuously through the observation period.
The barrier is observed on a discrete expiry date, or (in the case of a multi-phase product) series of expiry dates.
The specification of whether a barrier within an FX OTC option is a knockin or knockout.
The option exists if the spot rate is at or above, or at or below the barrier level according to the specified barrier direction.
The option ceases to exist if the spot rate is at or above, or at or below the barrier level according to the specified barrier direction.
DEPRECATE: Option exists once the barrier is hit. The trigger rate is in-the money in relation to the strike rate.
DEPRECATE: Option ceases to exist once the barrier is hit. The trigger rate is in-the money in relation to the strike rate.
Defines the outcome in the event that the barrier is triggered i.e. whether the product becomes active (Knockin) or is extinguished (Knockout). Omitting superseded values ReverseKnock[in|out].
The option exists if the spot rate is at or above, or at or below the barrier level according to the specified barrier direction.
The option ceases to exist if the spot rate is at or above, or at or below the barrier level according to the specified barrier direction.
Standard FX Spot and Forward offset conventions.
The Lower Bound Direction. It only contains the AtOrAbove and Above values.
The Upper Bound Direction. It only contains the AtOrBelow and Below values.
Target specific settlement adjustment method.
Forward Volatility Agreement Straddle Type.
At the money forward straddle.
Delta neutral straddle.
Defines the method for calculating the gain in the period where the Target Knock-Out event occurs (Exact, Exclusive, Inclusive).
The gain for the knockout period is adjusted to yield a final accumulated value equal to the target level.
The gain for the knockout period is adjusted to zero i.e. the target yields zero value in the final period.
The gain for the knockout period is equal to the whole benefit of the final fixing over spot i.e. the final accumulated value may exceed the target level.
The specification of a time period containing values such as Today, Tomorrow etc.
Broken/non conventional Tenor Period.
Today Tenor Period.
Tomorrow Tenor Period.
Day after Tomorrow Tenor Period.
Spot Tenor Period.
Day after Spot Tenor period.
The type of gas product.
Normal butane (C4H10)
Carbon Dioxide (CO2)
Ethane-Propane Mix
Ethane (C2H6)
Natural Gasoline (C4 – C12)
Helium (He)
Hydrogen Sulfide (H2S)
Iso-Butane (C4H10)
Methane (CH4)
Naphtha (C5 – C12)
Nitrogen (N2)
Pentane (C5H12)
Propane (C3H8)
Propylene or propene (C3H6)
Water Vapor (H2O)
The specification of the consequences of Index Events.
Calculation Agent Adjustment
Negotiated Close Out
Cancellation and Payment
Related Exchange Adjustment
Defines whether the agent bank is making an interest payment based on the lender pro-rata share at the end of the period (snapshot) or based on the lender position throughout the period.
Agent bank is making an interest payment based on the lender's contract position throughout the interest payment period.
Agent bank is making an interest payment based on the lender pro-rata share snapshot at the time of payment.
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.
Interpolation is applicable to the final period only.
Interpolation is applicable to any non-standard period.
The type of automatic adjustment that a Letter of Credit can exhibit.
Denotes an automatic decrease.
Denotes an automatic increase.
Denotes an automatic increase or decrease.
Used for indicating the length unit in the Resource type.
The type of credit approval request.
LoadType is a summary of the full description of the settlement periods with respect to the region. Used for describing Electricity delivery schedules.
Base
Peak
Off-Peak
Block Hours
Anything that does not fall under the predefined standard categories
A list that defines how the interest accrued during the settlement period is calculated and paid.
Trades flat.
Settled with Accrued Interest: Interest accrued during the settlement period is paid at settlement.
Settled without Accrued Interest: Interest accrued during for the settlement period is not paid at settlement.
A 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 global commitment amount of a facility.
An on-going (accrual) fee paid to the Issuing Bank for a Letter of Credit. This is separate from the basic Letter of Credit Fee paid to the lender group.
Typically for term loans, a commitment fee that applies to the amount of a commitment that has not yet been drawn down.
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.
A list that defines the loan trading association responsible for defining the standardized legal framework that governs the trade.
Loan Market Association (UK).
The Loan Syndications and Trading Association (US).
A list describing the type of documentation used to settle a secondary market syndicated loan trade.
Distressed loan trade documentation.
Par loan trade documentation.
A list describing forms of purchase.
A list of accruing fee types associated with a facility.
Calculated as a percentage of the global commitment amount of a facility.
Calculated as a percentage of the unutilized portion of the facility.
An on-going (accrual) fee paid to the Issuing Bank for a Letter of Credit. This is separate from the basic Letter of Credit Fee paid to the lender group.
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.
A list that defines the status of a settlement task.
Loan Market Association (UK).
The Loan Syndications and Trading Association (US).
A list that specifies whether a trade was executed during the syndication period or in the post-syndication market.
Trade is part of a syndication.
Trade was performed in the secondary (non-syndication) market.
A list that specifies type of voting rights process, i.e. whether voting rights are passed along to buyer or retained by seller.
Voting rights passed to the buyer
Voting rights retained by the seller
A list of standard market rules for the treatment of split of assignment fees between counterparties.
Buyer is responsible for one half of one allocation's assignment fee (regardless of the number of allocations).
Buyer is responsible for one allocation's assignment fee (regardless of the number of allocations).
Seller is responsible for one allocation's assignment fee (regardless of the number of allocations).
Fee is paid by buyer.
Fee is paid by seller.
Seller is responsible for one half of one allocation's assignment fee (regardless of the number of allocations).
Ticket owner is responsible for one allocation's assignment fee (regardless of the number of allocations).
This indicator defines which type of assets (cash or securities) is specified to apply as margin to the repo transaction.
When the margin type is Cash, the margin factor is applied to the cash value of the transaction.
When the margin type is Instrument, the margin factor is applied to the instrument value for the transaction. In the “instrument” case, the haircut would be applied to the securities.
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.
The Market Disruption Event(s) are determined by reference to the relevant Confirmation.
Describes how and when title to the commodity transfers.
Transfers with Risk of Loss.
Does Not Transfer with Risk of Loss.
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.
Indicator as to the type of transaction in accordance with Articles 20(3)(a) and 21(5)(a) of Regulation (EU) 600/2014.
Transaction results in a Increase of Notional value
Transaction results in a Decrease of Notional value
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".
Specifies the type of the option.
A "payer" option: If you buy a "payer" option you have the right but not the obligation to enter into the underlying swap transaction as the "fixed" rate/price payer and receive float.
A receiver option: If you buy a "receiver" option you have the right but not the obligation to enter into the underlying swap transaction as the "fixed" rate/price receiver and pay float.
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 a time period containing additional values such as Term.
Period measured in hours.
Period measured in minutes.
Period measured in seconds.
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.
When quotation style is "Price", the marketPrice 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
A duration code for a Repo (or Securities Lending) transaction. There are many business and market rules that are derived from the duration of the transaction.
Indicates that a contract is classified as overnight, meaning that there is one business day difference between the start and end date of the contract. Business rule: When the repo is overnight, the number of business days between the spot and forward value dates must be one. Forward leg must be specified.
Indicates that a contract is a regular term contract, with a start date and an end date. Business rule: When the repo is 'Term', both spot and forward legs must be specified.
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.
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
Allow Election of either Cash or Physical settlement
Allow use of either Cash or Physical settlement without prior Election
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 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 Locational Marginal price 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 Marginal Hourly price reported in or by the relevant Price Source as specified in the relevant Confirmation.
The Specified Price shall be the Market Clearing 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 Specified Price shall be the Average of the Midpoint of prices reported in or by the relevant Price Source as specified in the relevant Confirmation.
The Specified Price shall be the National Single price reported in or by the relevant Price Source as specified in the relevant Confirmation.
The Specified Price shall be the Volume Weighted Average of prices effective on the Pricing Date reported in or by the relevant Price Source as specified in the relevant Confirmation.
The Specified Price shall be the Non-volume Weighted Average of prices effective on the Pricing Date 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.
The type of telephone number used to reach a contact.
A number used primarily for work-related calls. Includes home office numbers used primarily for work purposes.
A number on a mobile telephone or pager that is often or usually used for work-related calls. This type of number can be used for urgent work related business when a work number is not sufficient to contact the person or firm.
A number used primarily for work-related facsimile transmissions.
A number used primarily for nonwork-related calls. (Normally this type of number would be used only as an emergency backup number, not as a regular course of business).
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 specification of whether a payout will occur on an option depending upon whether the spot rate is at or above or at 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.
DEPRECATE: The spot rate must be greater than or equal to the trigger rate.
DEPRECATE: The spot rate must be less than or equal to the trigger rate.
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 will 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 ISDA defined methodology for determining the final price of the reference obligation for purposes of cash settlement.
How a valuation for a trade was determined
The valuation was calculated based on a pricing model incorporating trade economics and a model of market conditions.
The valuation was determined based on values for similar products quoted on the open market.
The cumulative number of Weather Index Units for each day in the Calculation Period.
The cumulative number of Weather Index Units for each day in the Calculation Period divided by the number of days in the Calculation Period.
The maximum number of Weather Index Units for any day in the Calculation Period.
The minimum number of Weather Index Units for any day in the Calculation Period.
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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