schemas.fpml-5-13.confirmation.fpml-option-shared-5-13.xsd Maven / Gradle / Ivy
As per ISDA 2002 Definitions.
The factor of strike.
The averaging in period.
The averaging out period.
An un ordered list of weighted averaging observations.
A single weighted averaging observation.
Period over which an average value is taken.
A schedule for generating averaging observation dates.
A choice between unweighted and weighted averaging date and times.
An unweighted list of averaging observation date and times.
A weighted list of averaging observation date and times.
The market disruption event as defined by ISDA 2002 Definitions.
Method of generating a series of dates.
The averaging period defined by a start date and an end date.
The frequency at which averaging period occurs with the regular part of the valuation schedule and their roll date convention.
As per ISDA 2002 Definitions.
A trigger level approached from beneath.
A trigger level approached from above.
A type for defining a calendar spread feature.
A classified non negative payment.
Payment classification.
Specifies the conditions to be applied for converting into a reference currency when the actual currency rate is not determined upfront.
Specifies the method according to which an amount or a date is determined.
A date specified as some offset to another date (the anchor date).
Specifies the methodology (reference source and, optionally, fixing time) to be used for determining a currency conversion rate.
Pointer style references to a party identifier defined elsewhere in the document. The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring. ISDA 2003 Term: Notifying Party.
Inclusion of this business center element implies that Greenwich Mean Time in Section 3.3 of the 2003 ISDA Credit Derivatives Definitions is replaced by the local time of the city indicated by the businessCenter element value.
A specified condition to settlement. Publicly available information means information that reasonably confirms any of the facts relevant to determining that a credit event or potential repudiation/moratorium, as applicable, has occurred. The ISDA defined list (2003) is the market standard and is considered comprehensive, and a minimum of two differing public sources must have published the relevant information, to declare a Credit Event. ISDA 2003 Term: Notice of Publicly Available Information Applicable.
A credit event. The reference entity has been dissolved or has become insolvent. It also covers events that may be a precursor to insolvency such as instigation of bankruptcy or insolvency proceedings. Sovereign trades are not subject to Bankruptcy as "technically" a Sovereign cannot become bankrupt. ISDA 2003 Term: Bankruptcy.
A credit event. This credit event triggers, after the expiration of any applicable grace period, if the reference entity fails to make due payments in an aggregrate amount of not less than the payment requirement on one or more obligations (e.g. a missed coupon payment). ISDA 2003 Term: Failure to Pay.
A credit event. Corresponds to the failure by the Reference Entity to pay an expected principal amount or the payment of an actual principal amount that is less than the expected principal amount. ISDA 2003 Term: Failure to Pay Principal.
A credit event. Corresponds to the failure by the Reference Entity to pay an expected interest amount or the payment of an actual interest amount that is less than the expected interest amount. ISDA 2003 Term: Failure to Pay Interest.
A credit event. One or more of the obligations have become capable of being declared due and payable before they would otherwise have been due and payable as a result of, or on the basis of, the occurrence of a default, event of default or other similar condition or event other than failure to pay. ISDA 2003 Term: Obligation Default.
A credit event. One or more of the obligations have been declared due and payable before they would otherwise have been due and payable as a result of, or on the basis of, the occurrence of a default, event of default or other similar condition or event other than failure to pay (preferred by the market over Obligation Default, because more definitive and encompasses the definition of Obligation Default - this is more favorable to the Seller). Subject to the default requirement amount. ISDA 2003 Term: Obligation Acceleration.
A credit event. The reference entity, or a governmental authority, either refuses to recognise or challenges the validity of one or more obligations of the reference entity, or imposes a moratorium thereby postponing payments on one or more of the obligations of the reference entity. Subject to the default requirement amount. ISDA 2003 Term: Repudiation/Moratorium.
A credit event. A restructuring is an event that materially impacts the reference entity's obligations, such as an interest rate reduction, principal reduction, deferral of interest or principal, change in priority ranking, or change in currency or composition of payment. ISDA 2003 Term: Restructuring.
A credit event. A governmental intervention is an event resulting from an action by a governmental authority that materially impacts the reference entity's obligations, such as an interest rate reduction, principal reduction, deferral of interest or principal, change in priority ranking, or change in currency or composition of payment. ISDA 2014 Term: Governmental Intervention.
A credit event. Results from the fact that the rating of the reference obligation is downgraded to a distressed rating level. From a usage standpoint, this credit event is typically not applicable in case of RMBS trades.
A credit event. Results from the fact that the underlier fails to make principal payments as expected.
A credit event. Results from the fact that the underlier writes down its outstanding principal amount.
A credit event. Results from the fact that losses occur to the underlying instruments that do not result in reductions of the outstanding principal of the reference obligation.
In relation to certain credit events, serves as a threshold for Obligation Acceleration, Obligation Default, Repudiation/Moratorium and Restructuring. Market standard is USD 10,000,000 (JPY 1,000,000,000 for all Japanese Yen trades). This is applied on an aggregate or total basis across all Obligations of the Reference Entity. Used to prevent technical/operational errors from triggering credit events. ISDA 2003 Term: Default Requirement.
A specified condition to settlement. An irrevocable written or verbal notice that describes a credit event that has occurred. The notice is sent from the notifying party (either the buyer or the seller) to the counterparty. It provides information relevant to determining that a credit event has occurred. This is typically accompanied by Publicly Available Information. ISDA 2003 Term: Credit Event Notice.
Reference to credit events.
Indicates whether the failure to pay provision is applicable.
If this element is specified, indicates whether or not a grace period extension is applicable. ISDA 2003 Term: Grace Period Extension Applicable.
Specifies a threshold for the failure to pay credit event. Market standard is USD 1,000,000 (JPY 100,000,000 for Japanese Yen trades) or its equivalent in the relevant obligation currency. This is applied on an aggregate basis across all Obligations of the Reference Entity. Intended to prevent technical/operational errors from triggering credit events. ISDA 2003 Term: Payment Requirement.
Payment made following trigger occurence.
The trigger level percentage. A value expressed in percentage units i.e. 5 means 5%.
The monetary quantity in currency units.
The feature payment time.
The currency in which an amount is denominated.
The feature payment date.
A type for defining Fx Features.
Specifies the reference currency of the trade.
If “Composite” is specified as the Settlement Type in the relevant Transaction Supplement, an amount in the Settlement Currency, determined by the Calculation Agent as being equal to the number of Options exercised or deemed exercised, multiplied by: (Settlement Price – Strike Price) / (Strike Price – Settlement Price) x Multiplier provided that if the above is equal to a negative amount the Option Cash Settlement Amount shall be deemed to be zero.
If “Quanto” is specified as the Settlement Type in the relevant Transaction Supplement, an amount, as determined by the Calculation Agent in accordance with the Section 8.2 of the Equity Definitions.
If “Cross-Currency” is specified as the Settlement Type in the relevant Transaction Supplement, an amount in the Settlement Currency, determined by the Calculation Agent as being equal to the number of Options exercised or deemed exercised, multiplied by: (Settlement Price – Strike Price) / (Strike Price – Settlement Price) x Multiplier x one unit of the Reference Currency converted into an amount in the Settlement Currency using the rate of exchange of the Settlement Currency as quoted on the Reference Price Source on the Valuation Date, provided that if the above is equal to a negative amount the Option Cash Settlement Amount shall be deemed to be zero.
Indicates whether the grace period extension provision is applicable.
The number of calendar or business days after any due date that the reference entity has to fulfil its obligations before a failure to pay credit event is deemed to have occurred. ISDA 2003 Term: Grace Period.
Knock In means option to exercise comes into existence. Knock Out means option to exercise goes out of existence.
The knock in.
The knock out.
The knock out.
Defines the handling of an averaging date market disruption for an equity derivative transaction.
A type for defining the common features of options. Buyer/seller information is not normally used in Transparency view but is optional in case the information is needed for administrative purposes such as Reporting Party determination.
A type for defining the common features of options.
The type of option transaction. From a usage standpoint, put/call is the default option type, while payer/receiver indicator is used for options index credit default swaps, consistently with the industry practice. Straddle is used for the case of straddle strategy, that combine a call and a put with the same strike.
Base type for options starting with the 4-3 release, until we refactor the schema as part of the 5-0 release series.
The option premium payable by the buyer to the seller.
A set of parameters defining procedures associated with the exercise.
An Option feature such as quanto, asian, barrier, knock.
A choice between an explicit representation of the notional amount, or a reference to a notional amount defined elsewhere in this document.
A type for defining option features.
A type for defining the strike price for an option as a numeric value without currency.
The price or level at which the option has been struck.
The price or level expressed as a percentage of the forward starting spot price. A value expressed in percentage units i.e. 5 means 5%.
A type for defining the strike price for an equity option. The strike price is either: (i) in respect of an index option transaction, the level of the relevant index specified or otherwise determined in the transaction; or (ii) in respect of a share option transaction, the price per share specified or otherwise determined in the transaction. This can be expressed either as a percentage of notional amount or as an absolute value.
The currency in which an amount is denominated.
Type which contains pass through payments.
One to many pass through payment items.
Type to represent a single pass through payment.
Reference to the underlyer whose payments are being passed through.
Percentage of payments from the underlyer which are passed through. A value expressed in percentage units i.e. 5 means 5%.
A type for defining a premium.
If this element is specified and set to 'true', indicates that ISDA defined Standard Public Sources are applicable.
A public information source, e.g. a particular newspaper or electronic news service, that may publish relevant information used in the determination of whether or not a credit event has occurred. ISDA 2003 Term: Public Source.
The minimum number of the specified public information sources that must publish information that reasonably confirms that a credit event has occurred. The market convention is two. ISDA 2003 Term: Specified Number.
Determines the currency rate that the seller of the equity amounts will apply at each valuation date for converting the respective amounts into a currency that is different from the currency denomination of the underlyer.
Specifies a currency conversion rate.
Specifies the methodology (reference source and, optionally, fixing time) to be used for determining a currency conversion rate.
Indicates whether the restructuring provision is applicable.
Specifies the type of restructuring that is applicable.
In relation to a restructuring credit event, unless multiple holder obligation is not specified restructurings are limited to multiple holder obligations. A multiple holder obligation means an obligation that is held by more than three holders that are not affiliates of each other and where at least two thirds of the holders must agree to the event that constitutes the restructuring credit event. ISDA 2003 Term: Multiple Holder Obligation.
Presence of this element and value set to 'true' indicates that Section 3.9 of the 2003 Credit Derivatives Definitions shall apply. Absence of this element indicates that Section 3.9 shall not apply. NOTE: Not allowed under ISDA Credit 1999.
ISDA 2003 Term: Settlement Currency
A type for definining equity option simple strike or calendar spread strategy features.
Definition of the upper strike in a strike spread.
Definition of the later expiration date in a calendar spread.
A type for defining a strike spread feature.
Upper strike in a strike spread.
Number of options at the upper strike price in a strike spread.
Trigger point at which feature is effective.
The trigger level.
The trigger level percentage. A value expressed in percentage units i.e. 5 means 5%.
Choice between either an explicit representation of Credit Events, or Credit Events defined elsewhere in the document.
The Triggering condition.
The valuation time type of knock condition.
Observation point for trigger.
A Equity Derivative schedule.
The trigger Dates.
The trigger level.
The feature payment.
A single weighted averaging observation.
Choice between date times for literal date values, and observation numbers for schedule generated observations.
Observation date time, which should be used when literal observation dates are required.
Observation number, which should be unique, within a series generated by a date schedule.
Observation weight, which is used as a multiplier for the observation value.
A model group containing Option Base Feature Elements.
A quanto or composite FX feature.
A simple strategy feature.
A model group containing the option denomination components.
The number of units of underlyer per option comprised in the option transaction.
Currency of the relevant bonds to which one option relates. For Bond Options this element should be used to define the currency of the bonds instead of the currency element present in the Bond underlyer.
The number of options comprised in the option transaction.
A model group containing Option Base Feature Elements.
An option where and average price is taken on valuation.
An option with a barrier feature.
A knock feature.
Pass through payments from the underlyer, such as dividends.
A group which has Option Settlement elements.
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