Documentation

Fields

addFixedPaymen_interestShortfallReimbursement :: Maybe Boolean

An additional Fixed Payment Event. Corresponds to the payment by or on behalf of the Issuer of an actual interest amount in respect to the reference obligation that is greater than the expected interest amount. ISDA 2003 Term: Interest Shortfall Reimbursement.

addFixedPaymen_principalShortfallReimbursement :: Maybe Boolean

An additional Fixed Payment Event. Corresponds to the payment by or on behalf of the Issuer of an actual principal amount in respect to the reference obligation that is greater than the expected principal amount. ISDA 2003 Term: Principal Shortfall Reimbursement.

addFixedPaymen_writedownReimbursement :: Maybe Boolean

An Additional Fixed Payment. Corresponds to the payment by or on behalf of the issuer of an amount in respect to the reference obligation in reduction of the prior writedowns. ISDA 2003 Term: Writedown Reimbursement.

Fields

addTermAttrib_additionalTermScheme :: Maybe AnyURI

 

Fields

adjustPaymentDates_adjustedPaymentDate :: Maybe Date

The adjusted payment date. This date should already be adjusted for any applicable business day convention. This component is not intended for use in trade confirmation but my be specified to allow the fee structure to also serve as a cashflow type component (all dates the the Cashflows type are adjusted payment dates).

adjustPaymentDates_paymentAmount :: Maybe Money

The currency amount of the payment.

Fields

basketRefInfo_choice0 :: Maybe (OneOf1 (Maybe BasketName, [BasketId]))

Choice between:

1. Sequence of:

• The name of the basket expressed as a free format string. FpML does not define usage rules for this element.
• A CDS basket identifier

basketRefInfo_referencePool :: Maybe ReferencePool

This element contains all the reference pool items to define the reference entity and reference obligation(s) in the basket

basketRefInfo_choice2 :: Maybe (OneOf2 (Maybe PositiveInteger, Maybe PositiveInteger) Tranche)

Choice between:

1. Sequence of:

• N th reference obligation to default triggers payout.
• M th reference obligation to default to allow representation of N th to M th defaults.

1. This element contains CDS tranche terms.

Fields

calcAmount_ID :: Maybe ID

 

calcAmount_currency :: Currency

The currency in which an amount is denominated.

calcAmount_amount :: Decimal

The monetary quantity in currency units.

calcAmount_step :: [Step]

A schedule of step date and value pairs. On each step date the associated step value becomes effective. A list of steps may be ordered in the document by ascending step date. An FpML document containing an unordered list of steps is still regarded as a conformant document.

Fields

cashSettlTerms_ID :: Maybe ID

 

cashSettlTerms_settlementCurrency :: Maybe Currency

ISDA 2003 Term: Settlement Currency

cashSettlTerms_valuationDate :: Maybe ValuationDate

The number of business days after conditions to settlement have been satisfied when the calculation agent obtains a price quotation on the Reference Obligation for purposes of cash settlement. There may be one or more valuation dates. This is typically specified if the cash settlement amount is not a fixed amount. ISDA 2003 Term: Valuation Date

cashSettlTerms_valuationTime :: Maybe BusinessCenterTime

The time of day in the specified business center when the calculation agent seeks quotations for an amount of the reference obligation for purposes of cash settlement. ISDA 2003 Term: Valuation Time

cashSettlTerms_quotationMethod :: Maybe QuotationRateTypeEnum

The type of price quotations to be requested from dealers when determining the market value of the reference obligation for purposes of cash settlement. For example, Bid, Offer or Mid-market. ISDA 2003 Term: Quotation Method

cashSettlTerms_quotationAmount :: Maybe Money

In the determination of a cash settlement amount, if weighted average quotations are to be obtained, the quotation amount specifies an upper limit to the outstanding principal balance of the reference obligation for which the quote should be obtained. If not specified, the ISDA definitions provide for a fallback amount equal to the floating rate payer calculation amount. ISDA 2003 Term: Quotation Amount

cashSettlTerms_minimumQuotationAmount :: Maybe Money

In the determination of a cash settlement amount, if weighted average quotations are to be obtained, the minimum quotation amount specifies a minimum intended threshold amount of outstanding principal balance of the reference obligation for which the quote should be obtained. If not specified, the ISDA definitions provide for a fallback amount of the lower of either USD 1,000,000 (or its equivalent in the relevant obligation currency) or the quotation amount. ISDA 2003 Term: Minimum Quotation Amount

cashSettlTerms_dealer :: [XsdString]

A dealer from whom quotations are obtained by the calculation agent on the reference obligation for purposes of cash settlement. ISDA 2003 Term: Dealer

cashSettlTerms_cashSettlementBusinessDays :: Maybe NonNegativeInteger

The number of business days used in the determination of the cash settlement payment date. If a cash settlement amount is specified, the cash settlement payment date will be this number of business days following the calculation of the final price. If a cash settlement amount is not specified, the cash settlement payment date will be this number of business days after all conditions to settlement are satisfied. ISDA 2003 Term: Cash Settlement Date

cashSettlTerms_choice8 :: Maybe (OneOf2 Money RestrictedPercentage)

Choice between:

1. The amount paid by the seller to the buyer for cash settlement on the cash settlement date. If not otherwise specified, would typically be calculated as 100 (or the Reference Price) minus the price of the Reference Obligation (all expressed as a percentage) times Floating Rate Payer Calculation Amount. ISDA 2003 Term: Cash Settlement Amount.
2. Used for fixed recovery, specifies the recovery level, determined at contract inception, to be applied on a default. Used to calculate the amount paid by the seller to the buyer for cash settlement on the cash settlement date. Amount calculation is (1 minus the Recovery Factor) multiplied by the Floating Rate Payer Calculation Amount. The currency will be derived from the Floating Rate Payer Calculation Amount.

cashSettlTerms_fixedSettlement :: Maybe Boolean

Used for Recovery Lock, to indicate whether fixed Settlement is Applicable or Not Applicable. If Buyer fails to deliver an effective Notice of Physical Settlement on or before the Buyer NOPS Cut-off Date, and If Seller fails to deliver an effective Seller NOPS on or before the Seller NOPS Cut-off Date, then either: (a) if Fixed Settlement is specified in the related Confirmation as not applicable, then the Seller NOPS Cut-off Date shall be the Termination Date; or (b) if Fixed Settlement is specified in the related Confirmation as applicable, then: (i) if the Fixed Settlement Amount is a positive number, Seller shall, subject to Section 3.1 (except for the requirement of satisfaction of the Notice of Physical Settlement Condition to Settlement), pay the Fixed Settlement Amount to Buyer on the Fixed Settlement Payment Date; and (ii) if the Fixed Settlement Amount is a negative number, Buyer shall, subject to Section 3.1 (except for the requirement of satisfaction of the Notice of Physical Settlement Condition to Settlement), pay the absolute value of the Fixed Settlement Amount to Seller on the Fixed Settlement Payment Date.

cashSettlTerms_accruedInterest :: Maybe Boolean

Indicates whether accrued interest is included (true) or not (false). For cash settlement this specifies whether quotations should be obtained inclusive or not of accrued interest. For physical settlement this specifies whether the buyer should deliver the obligation with an outstanding principal balance that includes or excludes accrued interest. ISDA 2003 Term: Include/Exclude Accrued Interest

cashSettlTerms_valuationMethod :: Maybe ValuationMethodEnum

The ISDA defined methodology for determining the final price of the reference obligation for purposes of cash settlement. (ISDA 2003 Term: Valuation Method). For example, Market, Highest etc.

Fields

creditDefaultSwap_ID :: Maybe ID

 

creditDefaultSwap_primaryAssetClass :: Maybe AssetClass

A classification of the most important risk class of the trade. FpML defines a simple asset class categorization using a coding scheme.

creditDefaultSwap_secondaryAssetClass :: [AssetClass]

A classification of additional risk classes of the trade, if any. FpML defines a simple asset class categorization using a coding scheme.

creditDefaultSwap_productType :: [ProductType]

A classification of the type of product. FpML defines a simple product categorization using a coding scheme.

creditDefaultSwap_productId :: [ProductId]

A product reference identifier. The product ID is an identifier that describes the key economic characteristics of the trade type, with the exception of concepts such as size (notional, quantity, number of units) and price (fixed rate, strike, etc.) that are negotiated for each transaction. It can be used to hold identifiers such as the UPI (universal product identifier) required by certain regulatory reporting rules. It can also be used to hold identifiers of benchmark products or product temnplates used by certain trading systems or facilities. FpML does not define the domain values associated with this element. Note that the domain values for this element are not strictly an enumerated list.

creditDefaultSwap_generalTerms :: GeneralTerms

This element contains all the data that appears in the section entitled 1. General Terms in the 2003 ISDA Credit Derivatives Confirmation.

creditDefaultSwap_feeLeg :: FeeLeg

This element contains all the terms relevant to defining the fixed amounts/payments per the applicable ISDA definitions.

creditDefaultSwap_protectionTerms :: [ProtectionTerms]

This element contains all the terms relevant to defining the applicable floating rate payer calculation amount, credit events and associated conditions to settlement, and reference obligations.

creditDefaultSwap_choice7 :: [OneOf2 CashSettlementTerms PhysicalSettlementTerms]

Choice between:

1. This element contains all the ISDA terms relevant to cash settlement for when cash settlement is applicable. ISDA 2003 Term: Cash Settlement
2. This element contains all the ISDA terms relevant to physical settlement for when physical settlement is applicable. ISDA 2003 Term: Physical Settlement

Fields

creditDefaultSwapOption_ID :: Maybe ID

 

creditDefaultSwapOption_primaryAssetClass :: Maybe AssetClass

A classification of the most important risk class of the trade. FpML defines a simple asset class categorization using a coding scheme.

creditDefaultSwapOption_secondaryAssetClass :: [AssetClass]

A classification of additional risk classes of the trade, if any. FpML defines a simple asset class categorization using a coding scheme.

creditDefaultSwapOption_productType :: [ProductType]

A classification of the type of product. FpML defines a simple product categorization using a coding scheme.

creditDefaultSwapOption_productId :: [ProductId]

A product reference identifier. The product ID is an identifier that describes the key economic characteristics of the trade type, with the exception of concepts such as size (notional, quantity, number of units) and price (fixed rate, strike, etc.) that are negotiated for each transaction. It can be used to hold identifiers such as the UPI (universal product identifier) required by certain regulatory reporting rules. It can also be used to hold identifiers of benchmark products or product temnplates used by certain trading systems or facilities. FpML does not define the domain values associated with this element. Note that the domain values for this element are not strictly an enumerated list.

creditDefaultSwapOption_buyerPartyReference :: Maybe PartyReference

A reference to the party that buys this instrument, ie. pays for this instrument and receives the rights defined by it. See 2000 ISDA definitions Article 11.1 (b). In the case of FRAs this the fixed rate payer.

creditDefaultSwapOption_buyerAccountReference :: Maybe AccountReference

A reference to the account that buys this instrument.

creditDefaultSwapOption_sellerPartyReference :: Maybe PartyReference

A reference to the party that sells (writes) this instrument, i.e. that grants the rights defined by this instrument and in return receives a payment for it. See 2000 ISDA definitions Article 11.1 (a). In the case of FRAs this is the floating rate payer.

creditDefaultSwapOption_sellerAccountReference :: Maybe AccountReference

A reference to the account that sells this instrument.

creditDefaultSwapOption_optionType :: OptionTypeEnum

The type of option transaction. From a usage standpoint, putcall is the default option type, while payerreceiver 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.

creditDefaultSwapOption_premium :: Premium

The option premium payable by the buyer to the seller.

creditDefaultSwapOption_exercise :: Exercise

An placeholder for the actual option exercise definitions.

creditDefaultSwapOption_exerciseProcedure :: Maybe ExerciseProcedure

A set of parameters defining procedures associated with the exercise.

creditDefaultSwapOption_feature :: Maybe OptionFeature

An Option feature such as quanto, asian, barrier, knock.

creditDefaultSwapOption_choice13 :: Maybe (OneOf2 NotionalAmountReference Money)

A choice between an explicit representation of the notional amount, or a reference to a notional amount defined elsewhere in this document.

Choice between:

1. notionalReference
2. notionalAmount

creditDefaultSwapOption_optionEntitlement :: Maybe PositiveDecimal

The number of units of underlyer per option comprised in the option transaction.

creditDefaultSwapOption_entitlementCurrency :: Maybe Currency

TODO

creditDefaultSwapOption_numberOfOptions :: Maybe PositiveDecimal

The number of options comprised in the option transaction.

creditDefaultSwapOption_settlementType :: Maybe SettlementTypeEnum

 

creditDefaultSwapOption_settlementDate :: Maybe AdjustableOrRelativeDate

 

creditDefaultSwapOption_choice19 :: Maybe (OneOf2 Money Currency)

Choice between:

1. Settlement Amount
2. Settlement Currency for use where the Settlement Amount cannot be known in advance

creditDefaultSwapOption_strike :: CreditOptionStrike

Specifies the strike of the option on credit default swap.

creditDefaultSwapOption_creditDefaultSwap :: CreditDefaultSwap

 

Fields

creditOptionStrike_choice0 :: Maybe (OneOf3 Decimal Decimal FixedRateReference)

Choice between:

1. The strike of a credit default swap option or credit swaption when expressed as a spread per annum.
2. The strike of a credit default swap option or credit swaption when expressed as in reference to the price of the underlying obligation(s) or index.
3. The strike of a credit default swap option or credit swaption when expressed in reference to the spread of the underlying swap (typical practice in the case of single name swaps).

Fields

delivOblig_accruedInterest :: Maybe Boolean

Indicates whether accrued interest is included (true) or not (false). For cash settlement this specifies whether quotations should be obtained inclusive or not of accrued interest. For physical settlement this specifies whether the buyer should deliver the obligation with an outstanding principal balance that includes or excludes accrued interest. ISDA 2003 Term: Include/Exclude Accrued Interest

delivOblig_category :: Maybe ObligationCategoryEnum

Used in both obligations and deliverable obligations to represent a class or type of securities which apply. ISDA 2003 Term: Obligation Category/Deliverable Obligation Category

delivOblig_notSubordinated :: Maybe Boolean

An obligation and deliverable obligation characteristic. An obligation that ranks at least equal with the most senior Reference Obligation in priority of payment or, if no Reference Obligation is specified in the related Confirmation, the obligations of the Reference Entity that are senior. ISDA 2003 Term: Not Subordinated

delivOblig_specifiedCurrency :: Maybe SpecifiedCurrency

An obligation and deliverable obligation characteristic. The currency or currencies in which an obligation or deliverable obligation must be payable. ISDA 2003 Term: Specified Currency

delivOblig_notSovereignLender :: Maybe Boolean

An obligation and deliverable obligation characteristic. Any obligation that is not primarily (majority) owed to a Sovereign or Supranational Organization. ISDA 2003 Term: Not Sovereign Lender

delivOblig_notDomesticCurrency :: Maybe NotDomesticCurrency

An obligation and deliverable obligation characteristic. Any obligation that is payable in any currency other than the domestic currency. Domestic currency is either the currency so specified or, if no currency is specified, the currency of (a) the reference entity, if the reference entity is a sovereign, or (b) the jurisdiction in which the relevant reference entity is organised, if the reference entity is not a sovereign. ISDA 2003 Term: Not Domestic Currency

delivOblig_notDomesticLaw :: Maybe Boolean

An obligation and deliverable obligation characteristic. If the reference entity is a Sovereign, this means any obligation that is not subject to the laws of the reference entity. If the reference entity is not a sovereign, this means any obligation that is not subject to the laws of the jurisdiction of the reference entity. ISDA 2003 Term: Not Domestic Law

delivOblig_listed :: Maybe Boolean

An obligation and deliverable obligation characteristic. Indicates whether or not the obligation is quoted, listed or ordinarily purchased and sold on an exchange. ISDA 2003 Term: Listed

delivOblig_notContingent :: Maybe Boolean

A deliverable obligation characteristic. In essence Not Contingent means the repayment of principal cannot be dependant on a formula/index, i.e. to prevent the risk of being delivered an instrument that may never pay any element of principal, and to ensure that the obligation is interest bearing (on a regular schedule). ISDA 2003 Term: Not Contingent

delivOblig_notDomesticIssuance :: Maybe Boolean

An obligation and deliverable obligation characteristic. Any obligation other than an obligation that was intended to be offered for sale primarily in the domestic market of the relevant Reference Entity. This specifies that the obligation must be an internationally recognized bond. ISDA 2003 Term: Not Domestic Issuance

delivOblig_assignableLoan :: Maybe PCDeliverableObligationCharac

A deliverable obligation characteristic. A loan that is freely assignable to a bank or financial institution without the consent of the Reference Entity or the guarantor, if any, of the loan (or the consent of the applicable borrower if a Reference Entity is guaranteeing the loan) or any agent. ISDA 2003 Term: Assignable Loan

delivOblig_consentRequiredLoan :: Maybe PCDeliverableObligationCharac

A deliverable obligation characteristic. A loan that is capable of being assigned with the consent of the Reference Entity or the guarantor, if any, of the loan or any agent. ISDA 2003 Term: Consent Required Loan

delivOblig_directLoanParticipation :: Maybe LoanParticipation

A deliverable obligation characteristic. A loan with a participation agreement whereby the buyer is capable of creating, or procuring the creation of, a contractual right in favour of the seller that provides the seller with recourse to the participation seller for a specified share in any payments due under the relevant loan which are received by the participation seller. ISDA 2003 Term: Direct Loan Participation

delivOblig_transferable :: Maybe Boolean

A deliverable obligation characteristic. An obligation that is transferable to institutional investors without any contractual, statutory or regulatory restrictions. ISDA 2003 Term: Transferable

delivOblig_maximumMaturity :: Maybe Period

A deliverable obligation characteristic. An obligation that has a remaining maturity from the Physical Settlement Date of not greater than the period specified. ISDA 2003 Term: Maximum Maturity

delivOblig_acceleratedOrMatured :: Maybe Boolean

A deliverable obligation characteristic. An obligation at time of default is due to mature and due to be repaid, or as a result of downgrade/bankruptcy is due to be repaid as a result of an acceleration clause. ISDA 2003 Term: Accelerated or Matured

delivOblig_notBearer :: Maybe Boolean

A deliverable obligation characteristic. Any obligation that is not a bearer instrument. This applies to Bonds only and is meant to avoid tax, fraud and security/delivery provisions that can potentially be associated with Bearer Bonds. ISDA 2003 Term: Not Bearer

delivOblig_choice17 :: Maybe (OneOf3 Boolean Boolean Boolean)

Choice between:

1. An obligation and deliverable obligation characteristic. Defined in the ISDA published additional provisions for U.S. Municipal as Reference Entity. ISDA 2003 Term: Full Faith and Credit Obligation Liability
2. An obligation and deliverable obligation characteristic. Defined in the ISDA published additional provisions for U.S. Municipal as Reference Entity. ISDA 2003 Term: General Fund Obligation Liability
3. An obligation and deliverable obligation characteristic. Defined in the ISDA published additional provisions for U.S. Municipal as Reference Entity. ISDA 2003 Term: Revenue Obligation Liability

delivOblig_indirectLoanParticipation :: Maybe LoanParticipation

ISDA 1999 Term: Indirect Loan Participation. NOTE: Only applicable as a deliverable obligation under ISDA Credit 1999.

delivOblig_excluded :: Maybe XsdString

A free format string to specify any excluded obligations or deliverable obligations, as the case may be, of the reference entity or excluded types of obligations or deliverable obligations. ISDA 2003 Term: Excluded Obligations/Excluded Deliverable Obligations

delivOblig_othReferenceEntityObligations :: Maybe XsdString

This element is used to specify any other obligations of a reference entity in both obligations and deliverable obligations. The obligations can be specified free-form. ISDA 2003 Term: Other Obligations of a Reference Entity

Fields

entityTypeAttrib_entityTypeScheme :: Maybe AnyURI

 

Fields

feeLeg_ID :: Maybe ID

 

feeLeg_initialPayment :: Maybe InitialPayment

Specifies a single fixed payment that is payable by the payer to the receiver on the initial payment date. The fixed payment to be paid is specified in terms of a known currency amount. This element should be used for CDS Index trades and can be used for CDS trades where it is necessary to represent a payment from Seller to Buyer. For CDS trades where a payment is to be made from Buyer to Seller the feeLeg/singlePayment structure must be used.

feeLeg_singlePayment :: [SinglePayment]

Specifies a single fixed amount that is payable by the buyer to the seller on the fixed rate payer payment date. The fixed amount to be paid is specified in terms of a known currency amount.

feeLeg_periodicPayment :: Maybe PeriodicPayment

Specifies a periodic schedule of fixed amounts that are payable by the buyer to the seller on the fixed rate payer payment dates. The fixed amount to be paid on each payment date can be specified in terms of a known currency amount or as an amount calculated on a formula basis by reference to a per annum fixed rate. The applicable business day convention and business day for adjusting any fixed rate payer payment date if it would otherwise fall on a day that is not a business day are those specified in the dateAdjustments element within the generalTerms component. ISDA 2003 Term:

feeLeg_marketFixedRate :: Maybe Decimal

An optional element that only has meaning in a credit index trade. This element contains the credit spread (fair value) at which the trade was executed. Unlike the fixedRate of an index, the marketFixedRate varies over the life of the index depending on market conditions. The marketFixedRate is the price of the index as quoted by trading desks.

feeLeg_paymentDelay :: Maybe Boolean

Applicable to CDS on MBS to specify whether payment delays are applicable to the fixed Amount. RMBS typically have a payment delay of 5 days between the coupon date of the reference obligation and the payment date of the synthetic swap. CMBS do not, on the other hand, with both payment dates being on the 25th of each month.

feeLeg_initialPoints :: Maybe Decimal

An optional element that contains the up-front points expressed as a percentage of the notional. An initialPoints value of 5% would be represented as 0.05. The initialPoints element is an alternative to marketFixedRate in quoting the traded level of a trade. When initialPoints is used, the traded level is the sum of fixedRate and initialPoints. The initialPoints is one of the items that are factored into the initialPayment calculation and is payable by the Buyer to the Seller. Note that initialPoints and marketFixedRate may both be present in the same document when both implied values are desired.

feeLeg_quotationStyle :: Maybe QuotationStyleEnum

The type of quotation that was used between the trading desks. The purpose of this element is to indicate the actual quotation style that was used to quote this trade which may not be apparent when both marketFixedRate and initialPoints are included in the document. When quotationStyle is ‘PointsUpFront’, the initialPoints element should be populated. When quotationStyle is ‘TradedSpread’, the marketFixedRate element should be populated.

Fields

fixedAmountCalc_calculationAmount :: Maybe CalculationAmount

The notional amount used in the calculation of fixed amounts where an amount is calculated on a formula basis, i.e. fixed amount = fixed rate payer calculation amount x fixed rate x fixed rate day count fraction. ISDA 2003 Term: Fixed Rate Payer Calculation Amount.

fixedAmountCalc_fixedRate :: FixedRate

The calculation period fixed rate. A per annum rate, expressed as a decimal. A fixed rate of 5% would be represented as 0.05.

fixedAmountCalc_dayCountFraction :: Maybe DayCountFraction

The day count fraction. ISDA 2003 Term: Fixed Rate Day Count Fraction.

Fields

fixedRateAttrib_ID :: Maybe ID

 

Fields

fixedRateRef_href :: IDREF

 

Fields

floatAmountEvents_failureToPayPrincipal :: Maybe Boolean

A floating rate payment 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.

floatAmountEvents_interestShortfall :: Maybe InterestShortFall

A floating rate payment event. With respect to any Reference Obligation Payment Date, either (a) the non-payment of an Expected Interest Amount or (b) the payment of an Actual Interest Amount that is less than the Expected Interest Amount. ISDA 2003 Term: Interest Shortfall.

floatAmountEvents_writedown :: Maybe Boolean

A floating rate payment event. Results from the fact that the underlyer writes down its outstanding principal amount. ISDA 2003 Term: Writedown.

floatAmountEvents_impliedWritedown :: Maybe Boolean

A floating rate payment 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.

floatAmountEvents_floatingAmountProvisions :: Maybe FloatingAmountProvisions

Specifies the floating amount provisions associated with the floatingAmountEvents.

floatAmountEvents_additionalFixedPayments :: Maybe AdditionalFixedPayments

Specifies the events that will give rise to the payment a additional fixed payments.

Fields

floatAmountProvis_wACCapInterestProvision :: Maybe Boolean

As specified by the ISDA Supplement for use with trades on mortgage-backed securities, WAC Cap means a weighted average coupon or weighted average rate cap provision (however defined in the Underlying Instruments) of the Underlying Instruments that limits, increases or decreases the interest rate or interest entitlement, as set out in the Underlying Instruments on the Effective Date without regard to any subsequent amendment The presence of the element with value set to true signifies that the provision is applicable. From a usage standpoint, this provision is typically applicable in the case of CMBS and not applicable in case of RMBS trades.

floatAmountProvis_stepUpProvision :: Maybe Boolean

As specified by the ISDA Standard Terms Supplement for use with trades on mortgage-backed securities. The presence of the element with value set to true signifies that the provision is applicable. If applicable, the applicable step-up terms are specified as part of that ISDA Standard Terms Supplement. From a usage standpoint, this provision is typically applicable in the case of RMBS and not applicable in case of CMBS trades.

Fields

generalTerms_effectiveDate :: AdjustableDate2

The first day of the term of the trade. This day may be subject to adjustment in accordance with a business day convention. ISDA 2003 Term: Effective Date.

generalTerms_scheduledTerminationDate :: AdjustableDate2

The scheduled date on which the credit protection will lapse. This day may be subject to adjustment in accordance with a business day convention. ISDA 2003 Term: Scheduled Termination Date.

generalTerms_buyerPartyReference :: Maybe PartyReference

A reference to the party that buys this instrument, ie. pays for this instrument and receives the rights defined by it. See 2000 ISDA definitions Article 11.1 (b). In the case of FRAs this the fixed rate payer.

generalTerms_buyerAccountReference :: Maybe AccountReference

A reference to the account that buys this instrument.

generalTerms_sellerPartyReference :: Maybe PartyReference

A reference to the party that sells (writes) this instrument, i.e. that grants the rights defined by this instrument and in return receives a payment for it. See 2000 ISDA definitions Article 11.1 (a). In the case of FRAs this is the floating rate payer.

generalTerms_sellerAccountReference :: Maybe AccountReference

A reference to the account that sells this instrument.

generalTerms_dateAdjustments :: Maybe BusinessDayAdjustments

ISDA 2003 Terms: Business Day and Business Day Convention.

generalTerms_choice7 :: OneOf3 ReferenceInformation IndexReferenceInformation BasketReferenceInformation

Choice between:

1. This element contains all the terms relevant to defining the reference entity and reference obligation(s).
2. This element contains all the terms relevant to defining the Credit DefaultSwap Index.
3. This element contains all the terms relevant to defining the Credit Default Swap Basket.

generalTerms_additionalTerm :: [AdditionalTerm]

This element is used for representing information contained in the Additional Terms field of the 2003 Master Credit Derivatives confirm.

generalTerms_substitution :: Maybe Boolean

Value of this element set to true indicates that substitution is applicable.

generalTerms_modifiedEquityDelivery :: Maybe Boolean

Value of this element set to true indicates that modified equity delivery is applicable.

Fields

indexAnnexSourceAttrib_indexAnnexSourceScheme :: Maybe AnyURI

 

Fields

indexIdAttrib_indexIdScheme :: Maybe AnyURI

 

Fields

indexNameAttrib_indexNameScheme :: Maybe AnyURI

 

Fields

indexRefInfo_ID :: Maybe ID

 

indexRefInfo_choice0 :: OneOf2 (IndexName, [IndexId]) [IndexId]

Choice between:

1. Sequence of:

• The name of the index expressed as a free format string. FpML does not define usage rules for this element.
• A CDS index identifier (e.g. RED pair code).

1. A CDS index identifier (e.g. RED pair code).

indexRefInfo_indexSeries :: Maybe PositiveInteger

A CDS index series identifier, e.g. 1, 2, 3 etc.

indexRefInfo_indexAnnexVersion :: Maybe PositiveInteger

A CDS index series version identifier, e.g. 1, 2, 3 etc.

indexRefInfo_indexAnnexDate :: Maybe Date

A CDS index series annex date.

indexRefInfo_indexAnnexSource :: Maybe IndexAnnexSource

A CDS index series annex source.

indexRefInfo_excludedReferenceEntity :: [LegalEntity]

Excluded reference entity.

indexRefInfo_tranche :: Maybe Tranche

This element contains CDS tranche terms.

indexRefInfo_settledEntityMatrix :: Maybe SettledEntityMatrix

Used to specify the Relevant Settled Entity Matrix when there are settled entities at the time of the trade.

Fields

initialPayment_ID :: Maybe ID

 

initialPayment_payerPartyReference :: Maybe PartyReference

A reference to the party responsible for making the payments defined by this structure.

initialPayment_payerAccountReference :: Maybe AccountReference

A reference to the account responsible for making the payments defined by this structure.

initialPayment_receiverPartyReference :: Maybe PartyReference

A reference to the party that receives the payments corresponding to this structure.

initialPayment_receiverAccountReference :: Maybe AccountReference

A reference to the account that receives the payments corresponding to this structure.

initialPayment_adjustablePaymentDate :: Maybe Date

A fixed payment date that shall be subject to adjustment in accordance with the applicable business day convention if it would otherwise fall on a day that is not a business day. The applicable business day convention and business day are those specified in the dateAdjustments element within the generalTerms component.

initialPayment_adjustedPaymentDate :: Maybe Date

The adjusted payment date. This date should already be adjusted for any applicable business day convention. This component is not intended for use in trade confirmation but may be specified to allow the fee structure to also serve as a cashflow type component.

initialPayment_paymentAmount :: Money

A fixed payment amount.

Fields

interShortFall_interestShortfallCap :: Maybe InterestShortfallCapEnum

Specifies the nature of the interest Shortfall cap (i.e. Fixed Cap or Variable Cap) in the case where it is applicable. ISDA 2003 Term: Interest Shortfall Cap.

interShortFall_compounding :: Maybe Boolean

 

interShortFall_rateSource :: Maybe FloatingRateIndex

The rate source in the case of a variable cap.

Fields

loanPartic_applicable :: Maybe Boolean

Indicates whether the provision is applicable.

loanPartic_partialCashSettlement :: Maybe Boolean

Specifies whether either 'Partial Cash Settlement of Assignable Loans', 'Partial Cash Settlement of Consent Required Loans' or 'Partial Cash Settlement of Participations' is applicable. If this element is specified and Assignable Loan is a Deliverable Obligation Chracteristic, any Assignable Loan that is deliverable, but where a non-receipt of Consent by the Physical Settlement Date has occurred, the Loan can be cash settled rather than physically delivered. If this element is specified and Consent Required Loan is a Deliverable Obligation Characterisitc, any Consent Required Loan that is deliverable, but where a non-receipt of Consent by the Physical Settlement Date has occurred, the Loan can be cash settled rather than physically delivered. If this element is specified and Direct Loan Participation is a Deliverable Obligation Characterisitic, any Participation that is deliverable, but where this participation has not been effected (has not come into effect) by the Physical Settlement Date, the participation can be cash settled rather than physically delivered.

loanPartic_qualifyingParticipationSeller :: Maybe XsdString

If Direct Loan Participation is specified as a deliverable obligation characteristic, this specifies any requirements for the Qualifying Participation Seller. The requirements may be listed free-form. ISDA 2003 Term: Qualifying Participation Seller

Fields

matrixSourceAttrib_settledEntityMatrixSourceScheme :: Maybe AnyURI

 

Fields

multiValDates_businessDays :: Maybe NonNegativeInteger

A number of business days. Its precise meaning is dependant on the context in which this element is used. ISDA 2003 Term: Business Day

multiValDates_businessDaysThereafter :: Maybe PositiveInteger

The number of business days between successive valuation dates when multiple valuation dates are applicable for cash settlement. ISDA 2003 Term: Business Days thereafter

multiValDates_numberValuationDates :: Maybe PositiveInteger

Where multiple valuation dates are specified as being applicable for cash settlement, this element specifies (a) the number of applicable valuation dates, and (b) the number of business days after satisfaction of all conditions to settlement when the first such valuation date occurs, and (c) the number of business days thereafter of each successive valuation date. ISDA 2003 Term: Multiple Valuation Dates

Fields

notDomestCurren_applicable :: Maybe Boolean

Indicates whether the not domestic currency provision is applicable.

notDomestCurren_currency :: Maybe Currency

An explicit specification of the domestic currency.

Fields

obligations_category :: Maybe ObligationCategoryEnum

Used in both obligations and deliverable obligations to represent a class or type of securities which apply. ISDA 2003 Term: Obligation Category/Deliverable Obligation Category

obligations_notSubordinated :: Maybe Boolean

An obligation and deliverable obligation characteristic. An obligation that ranks at least equal with the most senior Reference Obligation in priority of payment or, if no Reference Obligation is specified in the related Confirmation, the obligations of the Reference Entity that are senior. ISDA 2003 Term: Not Subordinated

obligations_specifiedCurrency :: Maybe SpecifiedCurrency

An obligation and deliverable obligation characteristic. The currency or currencies in which an obligation or deliverable obligation must be payable. ISDA 2003 Term: Specified Currency

obligations_notSovereignLender :: Maybe Boolean

An obligation and deliverable obligation characteristic. Any obligation that is not primarily (majority) owed to a Sovereign or Supranational Organization. ISDA 2003 Term: Not Sovereign Lender

obligations_notDomesticCurrency :: Maybe NotDomesticCurrency

An obligation and deliverable obligation characteristic. Any obligation that is payable in any currency other than the domestic currency. Domestic currency is either the currency so specified or, if no currency is specified, the currency of (a) the reference entity, if the reference entity is a sovereign, or (b) the jurisdiction in which the relevant reference entity is organised, if the reference entity is not a sovereign. ISDA 2003 Term: Not Domestic Currency

obligations_notDomesticLaw :: Maybe Boolean

An obligation and deliverable obligation characteristic. If the reference entity is a Sovereign, this means any obligation that is not subject to the laws of the reference entity. If the reference entity is not a sovereign, this means any obligation that is not subject to the laws of the jurisdiction of the reference entity. ISDA 2003 Term: Not Domestic Law

obligations_listed :: Maybe Boolean

An obligation and deliverable obligation characteristic. Indicates whether or not the obligation is quoted, listed or ordinarily purchased and sold on an exchange. ISDA 2003 Term: Listed

obligations_notDomesticIssuance :: Maybe Boolean

An obligation and deliverable obligation characteristic. Any obligation other than an obligation that was intended to be offered for sale primarily in the domestic market of the relevant Reference Entity. This specifies that the obligation must be an internationally recognized bond. ISDA 2003 Term: Not Domestic Issuance

obligations_choice8 :: Maybe (OneOf3 Boolean Boolean Boolean)

Choice between:

1. An obligation and deliverable obligation characteristic. Defined in the ISDA published additional provisions for U.S. Municipal as Reference Entity. ISDA 2003 Term: Full Faith and Credit Obligation Liability
2. An obligation and deliverable obligation characteristic. Defined in the ISDA published additional provisions for U.S. Municipal as Reference Entity. ISDA 2003 Term: General Fund Obligation Liability
3. An obligation and deliverable obligation characteristic. Defined in the ISDA published additional provisions for U.S. Municipal as Reference Entity. ISDA 2003 Term: Revenue Obligation Liability

obligations_notContingent :: Maybe Boolean

NOTE: Only allowed as an obligation charcteristic under ISDA Credit 1999. In essence Not Contingent means the repayment of principal cannot be dependant on a formula/index, i.e. to prevent the risk of being delivered an instrument that may never pay any element of principal, and to ensure that the obligation is interest bearing (on a regular schedule). ISDA 2003 Term: Not Contingent

obligations_excluded :: Maybe XsdString

A free format string to specify any excluded obligations or deliverable obligations, as the case may be, of the reference entity or excluded types of obligations or deliverable obligations. ISDA 2003 Term: Excluded Obligations/Excluded Deliverable Obligations

obligations_othReferenceEntityObligations :: Maybe XsdString

This element is used to specify any other obligations of a reference entity in both obligations and deliverable obligations. The obligations can be specified free-form. ISDA 2003 Term: Other Obligations of a Reference Entity

obligations_designatedPriority :: Maybe Lien

Applies to Loan CDS, to indicate what lien level is appropriate for a deliverable obligation. Applies to European Loan CDS, to indicate the Ranking of the obligation. Example: a 2nd lien Loan CDS would imply that the deliverable obligations are 1st or 2nd lien loans.

obligations_cashSettlementOnly :: Maybe Boolean

An obligation and deliverable obligation characteristic. Defined in the ISDA published Standard Terms Supplement for use with CDS Transactions on Leveraged Loans. ISDA 2003 Term: Cash Settlement Only.

obligations_deliveryOfCommitments :: Maybe Boolean

An obligation and deliverable obligation characteristic. Defined in the ISDA published Standard Terms Supplement for use with CDS Transactions on Leveraged Loans. ISDA 2003 Term: Delivery of Commitments.

obligations_continuity :: Maybe Boolean

An obligation and deliverable obligation characteristic. Defined in the ISDA published Standard Terms Supplement for use with CDS Transactions on Leveraged Loans. ISDA 2003 Term: Continuity.

Fields

pCDelivObligCharac_applicable :: Maybe Boolean

Indicates whether the provision is applicable.

pCDelivObligCharac_partialCashSettlement :: Maybe Boolean

Specifies whether either 'Partial Cash Settlement of Assignable Loans', 'Partial Cash Settlement of Consent Required Loans' or 'Partial Cash Settlement of Participations' is applicable. If this element is specified and Assignable Loan is a Deliverable Obligation Chracteristic, any Assignable Loan that is deliverable, but where a non-receipt of Consent by the Physical Settlement Date has occurred, the Loan can be cash settled rather than physically delivered. If this element is specified and Consent Required Loan is a Deliverable Obligation Characterisitc, any Consent Required Loan that is deliverable, but where a non-receipt of Consent by the Physical Settlement Date has occurred, the Loan can be cash settled rather than physically delivered. If this element is specified and Direct Loan Participation is a Deliverable Obligation Characterisitic, any Participation that is deliverable, but where this participation has not been effected (has not come into effect) by the Physical Settlement Date, the participation can be cash settled rather than physically delivered.

Fields

periodPayment_ID :: Maybe ID

 

periodPayment_paymentFrequency :: Maybe Period

The time interval between regular fixed rate payer payment dates.

periodPayment_firstPeriodStartDate :: Maybe Date

The start date of the initial calculation period if such date is not equal to the trade’s effective date. It must only be specified if it is not equal to the effective date. The applicable business day convention and business day are those specified in the dateAdjustments element within the generalTerms component (or in a transaction supplement FpML representation defined within the referenced general terms confirmation agreement).

periodPayment_firstPaymentDate :: Maybe Date

The first unadjusted fixed rate payer payment date. The applicable business day convention and business day are those specified in the dateAdjustments element within the generalTerms component (or in a transaction supplement FpML representation defined within the referenced general terms confirmation agreement). ISDA 2003 Term: Fixed Rate Payer Payment Date

periodPayment_lastRegularPaymentDate :: Maybe Date

The last regular unadjusted fixed rate payer payment date. The applicable business day convention and business day are those specified in the dateAdjustments element within the generalTerms component (or in a transaction supplement FpML representation defined within the referenced general terms confirmation agreement). This element should only be included if there is a final payment stub, i.e. where the last regular unadjusted fixed rate payer payment date is not equal to the scheduled termination date. ISDA 2003 Term: Fixed Rate Payer Payment Date

periodPayment_rollConvention :: Maybe RollConventionEnum

Used in conjunction with the effectiveDate, scheduledTerminationDate, firstPaymentDate, lastRegularPaymentDate and paymentFrequency to determine the regular fixed rate payer payment dates.

periodPayment_choice5 :: OneOf2 Money FixedAmountCalculation

Choice between:

1. A fixed payment amount. ISDA 2003 Term: Fixed Amount
2. This element contains all the terms relevant to calculating a fixed amount where the fixed amount is calculated by reference to a per annum fixed rate. There is no corresponding ISDA 2003 Term. The equivalent is Sec 5.1 Calculation of Fixed Amount but this in itself is not a defined Term.

periodPayment_adjustedPaymentDates :: [AdjustedPaymentDates]

An optional cashflow-like structure allowing the equivalent representation of the periodic fixed payments in terms of a series of adjusted payment dates and amounts. This is intended to support application integration within an organisation and is not intended for use in inter-firm communication or confirmations. ISDA 2003 Term: Fixed Rate Payer Payment Date

Fields

physicSettlPeriod_choice0 :: Maybe (OneOf3 Boolean NonNegativeInteger NonNegativeInteger)

Choice between:

1. An explicit indication that a number of business days are not specified and therefore ISDA fallback provisions should apply.
2. A number of business days. Its precise meaning is dependant on the context in which this element is used. ISDA 2003 Term: Business Day
3. A maximum number of business days. Its precise meaning is dependant on the context in which this element is used. Intended to be used to limit a particular ISDA fallback provision.

Fields

physicSettlTerms_ID :: Maybe ID

 

physicSettlTerms_settlementCurrency :: Maybe Currency

ISDA 2003 Term: Settlement Currency

physicSettlTerms_physicalSettlementPeriod :: Maybe PhysicalSettlementPeriod

The number of business days used in the determination of the physical settlement date. The physical settlement date is this number of business days after all applicable conditions to settlement are satisfied. If a number of business days is not specified fallback provisions apply for determining the number of business days. If Section 8.58.6 of the 19992003 ISDA Definitions are to apply the businessDaysNotSpecified element should be included. If a specified number of business days are to apply these should be specified in the businessDays element. If Section 8.58.6 of the 19992003 ISDA Definitions are to apply but capped at a maximum number of business days then the maximum number should be specified in the maximumBusinessDays element. ISDA 2003 Term: Physical Settlement Period

physicSettlTerms_deliverableObligations :: Maybe DeliverableObligations

This element contains all the ISDA terms relevant to defining the deliverable obligations.

physicSettlTerms_escrow :: Maybe Boolean

If this element is specified and set to true, indicates that physical settlement must take place through the use of an escrow agent. (For Canadian counterparties this is always Not Applicable. ISDA 2003 Term: Escrow.

physicSettlTerms_sixtyBusinessDaySettlementCap :: Maybe Boolean

If this element is specified and set to true, for a transaction documented under the 2003 ISDA Credit Derivatives Definitions, has the effect of incorporating the language set forth below into the confirmation. The section references are to the 2003 ISDA Credit Derivatives Definitions. Notwithstanding Section 1.7 or any provisions of Sections 9.9 or 9.10 to the contrary, but without prejudice to Section 9.3 and (where applicable) Sections 9.4, 9.5 and 9.6, if the Termination Date has not occurred on or prior to the date that is 60 Business Days following the Physical Settlement Date, such 60th Business Day shall be deemed to be the Termination Date with respect to this Transaction except in relation to any portion of the Transaction (an Affected Portion) in respect of which: (1) a valid notice of Buy-in Price has been delivered that is effective fewer than three Business Days prior to such 60th Business Day, in which case the Termination Date for that Affected Portion shall be the third Business Day following the date on which such notice is effective; or (2) Buyer has purchased but not Delivered Deliverable Obligations validly specified by Seller pursuant to Section 9.10(b), in which case the Termination Date for that Affected Portion shall be the tenth Business Day following the date on which Seller validly specified such Deliverable Obligations to Buyer.

Fields

protecTerms_ID :: Maybe ID

 

protecTerms_calculationAmount :: Money

The notional amount of protection coverage. ISDA 2003 Term: Floating Rate Payer Calculation Amount

protecTerms_creditEvents :: Maybe CreditEvents

This element contains all the ISDA terms relating to credit events.

protecTerms_obligations :: Maybe Obligations

The underlying obligations of the reference entity on which you are buying or selling protection. The credit events Failure to Pay, Obligation Acceleration, Obligation Default, Restructuring, Repudiation/Moratorium are defined with respect to these obligations. ISDA 2003 Term:

protecTerms_floatingAmountEvents :: Maybe FloatingAmountEvents

This element contains the ISDA terms relating to the floating rate payment events and the implied additional fixed payments, applicable to the credit derivatives transactions on mortgage-backed securities with pay-as-you-go or physical settlement.

Fields

protecTermsRef_href :: IDREF

 

Fields

refInfo_referenceEntity :: LegalEntity

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

refInfo_choice1 :: Maybe (OneOf3 [ReferenceObligation] Boolean Boolean)

Choice between:

1. The Reference Obligation is a financial instrument that is either issued or guaranteed by the reference entity. It serves to clarify the precise reference entity protection is being offered upon, and its legal position with regard to other related firms (parents/subsidiaries). Furthermore the Reference Obligation is ALWAYS deliverable and establishes the Pari Passu ranking (as the deliverable bonds must rank equal to the reference obligation). ISDA 2003 Term: Reference Obligation
2. Used to indicate that there is no Reference Obligation associated with this Credit Default Swap and that there will never be one.
3. Used to indicate that the Reference obligation associated with the Credit Default Swap is currently not known. This is not valid for Legal Confirmation purposes, but is valid for earlier stages in the trade life cycle (e.g. Broker Confirmation).

refInfo_allGuarantees :: Maybe Boolean

Indicates whether an obligation of the Reference Entity, guaranteed by the Reference Entity on behalf of a non-Affiliate, is to be considered an Obligation for the purpose of the transaction. It will be considered an obligation if allGuarantees is applicable (true) and not if allGuarantees is inapplicable (false). ISDA 2003 Term: All Guarantees

refInfo_referencePrice :: Maybe Decimal

Used to determine (a) for physically settled trades, the Physical Settlement Amount, which equals the Floating Rate Payer Calculation Amount times the Reference Price and (b) for cash settled trades, the Cash Settlement Amount, which equals the greater of (i) the difference between the Reference Price and the Final Price and (ii) zero. ISDA 2003 Term: Reference Price

refInfo_referencePolicy :: Maybe Boolean

Applicable to the transactions on mortgage-backed security, which can make use of a reference policy. Presence of the element with value set to true indicates that the reference policy is applicable; absence implies that it is not.

refInfo_securedList :: Maybe Boolean

With respect to any day, the list of Syndicated Secured Obligations of the Designated Priority of the Reference Entity published by Markit Group Limited or any successor thereto appointed by the Specified Dealers (the Secured List Publisher) on or most recently before such day, which list is currently available at [http:www.markit.com]. ISDA 2003 Term: Relevant Secured List.

Fields

refOblig_choice0 :: Maybe (OneOf4 Bond ConvertibleBond Mortgage Loan)

Choice between:

1. Identifies the underlying asset when it is a series or a class of bonds.
2. Identifies the underlying asset when it is a convertible bond.
3. Identifies a mortgage backed security.
4. Identifies a simple underlying asset that is a loan.

refOblig_choice1 :: Maybe (OneOf2 LegalEntity LegalEntityReference)

Choice between:

1. The entity primarily responsible for repaying debt to a creditor as a result of borrowing or issuing bonds. ISDA 2003 Term: Primary Obligor
2. A pointer style reference to a reference entity defined elsewhere in the document. Used when the reference entity is the primary obligor.

refOblig_choice2 :: [OneOf2 LegalEntity LegalEntityReference]

Choice between:

1. The party that guarantees by way of a contractual arrangement to pay the debts of an obligor if the obligor is unable to make the required payments itself. ISDA 2003 Term: Guarantor
2. A pointer style reference to a reference entity defined elsewhere in the document. Used when the reference entity is the guarantor.

Fields

refPair_referenceEntity :: Maybe LegalEntity

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

refPair_choice1 :: Maybe (OneOf2 ReferenceObligation Boolean)

Choice between:

1. The Reference Obligation is a financial instrument that is either issued or guaranteed by the reference entity. It serves to clarify the precise reference entity protection is being offered upon, and its legal position with regard to other related firms (parents/subsidiaries). Furthermore the Reference Obligation is ALWAYS deliverable and establishes the Pari Passu ranking (as the deliverable bonds must rank equal to the reference obligation). ISDA 2003 Term: Reference Obligation
2. Used to indicate that there is no Reference Obligation associated with this Credit Default Swap and that there will never be one.

refPair_entityType :: Maybe EntityType

Defines the reference entity types corresponding to a list of types in the ISDA First to Default documentation.

Fields

referencePool_item :: [ReferencePoolItem]

 

Fields

refPoolItem_constituentWeight :: Maybe ConstituentWeight

Describes the weight of each of the constituents within the basket. If not provided, it is assumed to be equal weighted.

refPoolItem_referencePair :: Maybe ReferencePair

 

refPoolItem_protectionTermsReference :: Maybe ProtectionTermsReference

Reference to the documentation terms applicable to this item.

refPoolItem_settlementTermsReference :: Maybe SettlementTermsReference

Reference to the settlement terms applicable to this item.

Fields

settledEntityMatrix_matrixSource :: Maybe MatrixSource

Relevant settled entity matrix source.

settledEntityMatrix_publicationDate :: Maybe Date

Specifies the publication date of the applicable version of the matrix. When this element is omitted, the Standard Terms Supplement defines rules for which version of the matrix is applicable.

Fields

settlTerms_ID :: Maybe ID

 

settlTerms_settlementCurrency :: Maybe Currency

ISDA 2003 Term: Settlement Currency

Fields

settlTermsRef_href :: IDREF

 

Fields

singlePayment_ID :: Maybe ID

 

singlePayment_adjustablePaymentDate :: Maybe Date

A fixed amount payment date that shall be subject to adjustment in accordance with the applicable business day convention if it would otherwise fall on a day that is not a business day. The applicable business day convention and business day are those specified in the dateAdjustments element within the generalTerms component. ISDA 2003 Term: Fixed Rate Payer Payment Date

singlePayment_adjustedPaymentDate :: Maybe Date

The adjusted payment date. This date should already be adjusted for any applicable business day convention. This component is not intended for use in trade confirmation but may be specified to allow the fee structure to also serve as a cashflow type component.

singlePayment_fixedAmount :: Money

A fixed payment amount. ISDA 2003 Term: Fixed Amount

Fields

singleValDate_businessDays :: Maybe NonNegativeInteger

A number of business days. Its precise meaning is dependant on the context in which this element is used. ISDA 2003 Term: Business Day

Fields

specifCurren_applicable :: Maybe Boolean

Indicates whether the specified currency provision is applicable.

specifCurren_currency :: [Currency]

The currency in which an amount is denominated.

Fields

tranche_attachmentPoint :: Maybe Decimal

Lower bound percentage of the loss that the Tranche can endure, expressed as a decimal. An attachment point of 5% would be represented as 0.05. The difference between Attachment and Exhaustion points is call the width of the Tranche. A schema facet to constraint the value between 0 to 1 will be introduced in FpML 4.3.

tranche_exhaustionPoint :: Maybe Decimal

Upper bound percentage of the loss that the Tranche can endure, expressed as a decimal. An exhaustion point of 5% would be represented as 0.05. The difference between Attachment and Exhaustion points is call the width of the Tranche. A schema facet to constraint the value between 0 to 1 will be introduced in FpML 4.3.

tranche_incurredRecoveryApplicable :: Maybe Boolean

Outstanding Swap Notional Amount is defined at any time on any day, as the greater of: (a) Zero; If Incurred Recovery Amount Applicable: (b) The Original Swap Notional Amount minus the sum of all Incurred Loss Amounts and all Incurred Recovery Amounts (if any) determined under this Confirmation at or prior to such time.Incurred Recovery Amount not populated: (b) The Original Swap Notional Amount minus the sum of all Incurred Loss Amounts determined under this Confirmation at or prior to such time.

Fields

valDate_choice0 :: Maybe (OneOf2 SingleValuationDate MultipleValuationDates)

Choice between:

1. Where single valuation date is specified as being applicable for cash settlement, this element specifies the number of business days after satisfaction of all conditions to settlement when such valuation date occurs. ISDA 2003 Term: Single Valuation Date
2. Where multiple valuation dates are specified as being applicable for cash settlement, this element specifies (a) the number of applicable valuation dates, and (b) the number of business days after satisfaction of all conditions to settlement when the first such valuation date occurs, and (c) the number of business days thereafter of each successive valuation date. ISDA 2003 Term: Multiple Valuation Dates

Fields

limitedCreditDefaultSwap_generalTerms :: GeneralTerms

This element contains all the data that appears in the section entitled 1. General Terms in the 2003 ISDA Credit Derivatives Confirmation.

limitedCreditDefaultSwap_feeLeg :: FeeLeg

This element contains all the terms relevant to defining the fixed amounts/payments per the applicable ISDA definitions.

limitedCreditDefaultSwap_protectionTerms :: [ProtectionTerms]

This element contains all the terms relevant to defining the applicable floating rate payer calculation amount, credit events and associated conditions to settlement, and reference obligations.