FpML Financial product Markup Language
Trial Recommendation 27 June 2003

Equity Derivative Component Definitions

Version: 3.0

This version: http://www.fpml.org/spec/2003/tr-fpml-3-0-2003-06-27

Latest version: http://www.fpml.org/spec/fpml-3-0

Previous version: http://www.fpml.org/spec/2002/lcwd-fpml-3-0-2002-09-13

Errata for this version: http://www.fpml.org/spec/errata/tr-fpml-3-0-2003-06-27-errata.html





Copyright 1999 - 2003. All rights reserved.

Financial Products Markup Language is subject to the FpML Public License.

A copy of this license is available at http://www.fpml.org/documents/license





DTD:fpml-dtd-eqd-3-0.dtd

Entity Definitions

FpML_Equity


Description:

An entity for defining the underlying instrument for an equity option.


Figure:



Contents:


description (exactly one occurrence; of type string)
instrumentId (one or more occurrences; of type string, an enumerated domain value defined by instrumentIdScheme)
currency (zero or one occurrence; of type string, an enumerated domain value defined by currencyScheme)

  • The currency in which an amount is denominated.


exchangeId (zero or more occurrences; of type string, an enumerated domain value defined by exchangeIdScheme)

  • A short form unique identifier for an exchange. If the element is not present then the exchange shall be the primary exchange on which the underlying is listed. The term "Exchange" is assumed to have the meaning as defined in the ISDA 1996 Equity Derivatives Definitions.


relatedExchangeId (zero or more occurrences; of type string, an enumerated domain value defined by exchangeIdScheme)

  • A short form unique identifier for a related exchange. If the element is not present then the exchange shall be the primary exchange on which listed futures and options on the underlying are listed. The term "Exchange" is assumed to have the meaning as defined in the ISDA 1996 Equity Derivatives Definitions.


clearanceSystem (zero or one occurrence; of type string, an enumerated domain value defined by clearanceSystemScheme)

  • Unless otherwise specified, the principal clearance system customarily used for settling trades in the relevant underlying.


Used by:


underlying


DTD Fragment:


<!ENTITY % FpML_Equity "description , instrumentId+ , currency? , exchangeId* , relatedExchangeId* , clearanceSystem?">



FpML_EquityAmericanExercise


Description:

An entity for defining exercise procedures associated with an American style exercise of an equity option. This entity inherits from the entity FpML_SharedAmericanExercise.


Figure:



Contents:


inherited element(s) (this entity inherits the element(s) defined by exactly one occurrence of the entity FpML_SharedAmericanExercise)
latestExerciseTimeType (exactly one occurrence; of type string, an enumerated domain value defined by timeTypeScheme)
equityExpirationTimeType (exactly one occurrence; of type string, an enumerated domain value defined by timeTypeScheme)

  • The time of day at which the equity option expires, for example the official closing time of the exchange.


equityExpirationTime (zero or one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_BusinessCenterTime)

  • The specific time of day at which the equity option expires.


equityMultipleExercise (zero or one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_EquityMultipleExercise)

  • The presence of this element indicates that the option may be exercised on different days. It is not applicable to European options.


Used by:


equityAmericanExercise


DTD Fragment:


<!ENTITY % FpML_EquityAmericanExercise "%FpML_SharedAmericanExercise; , latestExerciseTimeType , equityExpirationTimeType , equityExpirationTime? , equityMultipleExercise?">



FpML_EquityEuropeanExercise


Description:

An entity for defining exercise procedures associated with a European style exercise of an equity option.


Figure:



Contents:


expirationDate (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_AdjustableOrRelativeDate)
equityExpirationTimeType (exactly one occurrence; of type string, an enumerated domain value defined by timeTypeScheme)
equityExpirationTime (zero or one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_BusinessCenterTime)


Used by:


equityEuropeanExercise


DTD Fragment:


<!ENTITY % FpML_EquityEuropeanExercise "expirationDate , equityExpirationTimeType , equityExpirationTime?">



FpML_EquityExercise


Description:

An entity for defining exercise procedures for equity options.


Figure:



Contents:


Either
Or
automaticExerciseApplicable (exactly one occurrence; of type boolean)
equityValuation (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_EquityValuation)
settlementDate (zero or one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_RelativeDateOffset)
settlementCurrency (exactly one occurrence; of type string, an enumerated domain value defined by currencyScheme)
settlementPriceSource (exactly one occurrence; of type string, an enumerated domain value defined by settlementPriceSourceScheme)

  • The source from which the settlement price is to be obtained, e.g. a Reuters page, Prezzo di Riferimento, etc.


settlementType (exactly one occurrence; of type string, an enumerated domain value defined by settlementTypeScheme)

  • How the option will be settled.


failureToDeliverApplicable (zero or one occurrence; of type boolean)

  • Where the underlying is shares and the transaction is physically settled, then, if true, a failure to deliver the shares on the settlement date will not be an event of default for the purposes of the master agreement.


Used by:


equityExercise


DTD Fragment:


<!ENTITY % FpML_EquityExercise "(equityEuropeanExercise | equityAmericanExercise) , automaticExerciseApplicable , equityValuation , settlementDate? , settlementCurrency , settlementPriceSource , settlementType , failureToDeliverApplicable?">



FpML_EquityMultipleExercise


Description:

An entity for defining the multiple exercise provisions of an American style equity option.


Figure:



Contents:


integralMultipleExercise (zero or one occurrence; of type decimal)
minimumNumberOfOptions (exactly one occurrence; of type decimal)
maximumNumberOfOptions (exactly one occurrence; of type decimal)


Used by:


equityMultipleExercise


DTD Fragment:


<!ENTITY % FpML_EquityMultipleExercise "integralMultipleExercise? , minimumNumberOfOptions , maximumNumberOfOptions">



FpML_EquityOption


Description:

An entity for defining equity options.


Figure:



Contents:


inherited element(s) (this entity inherits the element(s) defined by exactly one occurrence of the entity FpML_Product)
buyerParty (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_PartyDetails)
sellerParty (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_PartyDetails)
optionType (exactly one occurrence; of type string, an enumerated domain value defined by optionTypeScheme)
underlying (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_Equity)
strike (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_EquityStrike)
spotPrice (zero or one occurrence; of type decimal)
notional (zero or one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_Money)
numberOfOptions (zero or one occurrence; of type decimal)
optionEntitlement (exactly one occurrence; of type decimal)
equityExercise (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_EquityExercise)
equityPremium (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_EquityPremium)
methodOfAdjustment (zero or one occurrence; of type string, an enumerated domain value defined by methodOfAdjustmentScheme)

  • Defines how adjustments will be made to the contract should one or more of the extraordinary events occur.


extraordinaryEvents (zero or one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_ExtraordinaryEvents)

  • Where the underlying is shares, specifies events affecting the issuer of those shares that may require the terms of the transaction to be adjusted.


Used by:


equityOption


DTD Fragment:


<!ENTITY % FpML_EquityOption "%FpML_Product; , buyerParty , sellerParty , optionType , underlying , strike , spotPrice? , notional? , numberOfOptions? , optionEntitlement , equityExercise , equityPremium , methodOfAdjustment? , extraordinaryEvents?">



FpML_EquityPremium


Description:

An entity used to describe the amount paid for an equity option.


Figure:



Contents:


payerPartyReference (exactly one occurrence; an empty element containing an href attribute)
receiverPartyReference (exactly one occurrence; an empty element containing an href attribute)
paymentAmount (zero or one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_Money)
paymentDate (zero or one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_AdjustableDate)
swapPremium (zero or one occurrence; of type boolean)
pricePerOption (zero or one occurrence; of type decimal)
percentageOfNotional (zero or one occurrence; of type decimal)


Used by:


equityPremium


DTD Fragment:


<!ENTITY % FpML_EquityPremium "payerPartyReference , receiverPartyReference , paymentAmount? , paymentDate? , swapPremium? , pricePerOption? , percentageOfNotional?">



FpML_EquityStrike


Description:

An entity 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.


Figure:



Contents:


strikePrice (exactly one occurrence; of type decimal)
currency (zero or one occurrence; of type string, an enumerated domain value defined by currencyScheme)


Used by:


strike


DTD Fragment:


<!ENTITY % FpML_EquityStrike "strikePrice , currency?">



FpML_EquityValuation


Description:

An entity for defining how and when an equity option is to be valued.


Figure:



Contents:


valuationDate (zero or one occurrence; of type date)
valuationTimeType (exactly one occurrence; of type string, an enumerated domain value defined by timeTypeScheme)
valuationTime (zero or one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_BusinessCenterTime)


Used by:


equityValuation


DTD Fragment:


<!ENTITY % FpML_EquityValuation "valuationDate? , valuationTimeType , valuationTime?">



FpML_ExtraordinaryEvents


Description:

Where the underlying is shares, defines events affecting the issuer of those shares that may require the terms of the transaction to be adjusted.


Figure:



Contents:


mergerEvents (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_MergerEvents)
nationalisationOrInsolvency (exactly one occurrence; of type string, an enumerated domain value defined by nationalisationOrInsolvencyOrDelistingScheme)
delisting (zero or one occurrence; of type string, an enumerated domain value defined by nationalisationOrInsolvencyOrDelistingScheme)

  • The term "Delisting" has the meaning defined in the ISDA 1996 Equity Derivatives Definitions.


Used by:


extraordinaryEvents


DTD Fragment:


<!ENTITY % FpML_ExtraordinaryEvents "mergerEvents , nationalisationOrInsolvency , delisting?">



FpML_MergerEvents


Description:

An entity for defining the merger events and their treatment.


Figure:



Contents:


shareForShare (exactly one occurrence; of type string, an enumerated domain value defined by shareExtraordinaryEventScheme)
shareForOther (exactly one occurrence; of type string, an enumerated domain value defined by shareExtraordinaryEventScheme)

  • The consideration paid for the original shares following the Merger Event consists wholly of cash/securities other than new shares.


shareForCombined (exactly one occurrence; of type string, an enumerated domain value defined by shareExtraordinaryEventScheme)

  • The consideration paid for the original shares following the Merger Event consists of both cash/securities and new shares.


Used by:


mergerEvents


DTD Fragment:


<!ENTITY % FpML_MergerEvents "shareForShare , shareForOther , shareForCombined">



FpML_PartyContact


Description:

An entity for defing a person to contact at a party to the transaction and the methods of contacting that person.


Figure:



Contents:


partyContactName (exactly one occurrence; of type string)
partyContactFunction (exactly one occurrence; of type string, an enumerated domain value defined by partyContactFunctionScheme)
partyContactDetail (one or more occurrences; of type string, an enumerated domain value defined by partyContactDetailScheme)

  • A method of contacting the contact person, for example telephone number, fax number, e-mail address.


Used by:


partyContact


DTD Fragment:


<!ENTITY % FpML_PartyContact "partyContactName , partyContactFunction , partyContactDetail+">



FpML_PartyDetails


Description:

An entity for identifying a party to the transaction and the means of contacting that party.


Figure:



Contents:


partyReference (exactly one occurrence; an empty element containing an href attribute)
partyContact (zero or more occurrences; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_PartyContact)


Used by:


buyerParty
sellerParty


DTD Fragment:


<!ENTITY % FpML_PartyDetails "partyReference , partyContact*">