Document built: Wed 03/23/2005 15:43:23.08
Copyright 1999 - 2004. 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
The FpML specifications provided are without warranty of any kind, either expressed or implied, including, without limitation, warranties that FpML, or the FpML specifications are free of defects, merchantable, fit for a particular purpose or non-infringing. The entire risk as to the quality and performance of the specifications is with you. Should any of the FpML specifications prove defective in any respect, you assume the cost of any necessary servicing or repair. Under no circumstances and under no legal theory, whether tort (including negligence), contract, or otherwise, shall ISDA, any of its members, or any distributor of documents or software containing any of the FpML specifications, or any supplier of any of such parties, be liable to you or any other person for any indirect, special, incidental, or consequential damages of any character including, without limitation, damages for loss of goodwill, work stoppage, computer failure or malfunction, or any and all other commercial damages or losses, even if such party shall have been informed of the possibility of such damages.
1 CHARACTER ENCODING AND CHARACTER REPERTOIRE
1.1 Character Encoding
1.2 Character Repertoire
2 DATATYPES AND CODING SCHEMES
2.1 Datatypes
2.1.1 date
2.1.2 time
3 CODING SCHEMES
3.1 Introduction
4 SCHEME DEFINITIONS
4.1 additionalTermScheme
4.2 assetMeasureScheme
4.3 brokerConfirmationTypeScheme
4.4 businessCenterScheme
4.5 clearanceSystemScheme
4.6 compoundingFrequencyScheme
4.7 contractualDefinitionsScheme
4.8 contractualSupplementScheme
4.9 countryScheme
4.10 couponTypeScheme
4.11 creditSeniorityScheme
4.12 currencyScheme
4.13 cutNameScheme
4.14 dayCountFractionScheme
4.15 derivativeCalculationMethodScheme
4.16 entityIdScheme
4.17 entityNameScheme
4.18 exchangeIdScheme
4.19 floatingRateIndexScheme
4.20 governingLawScheme
4.21 indexAnnexSourceScheme
4.22 informationProviderScheme
4.23 instrumentIdScheme
4.24 interpolationMethodScheme
4.25 marketDisruptionScheme
4.26 masterAgreementTypeScheme
4.27 masterConfirmationTypeScheme
4.28 matrixTermScheme
4.29 matrixTypeScheme
4.30 partyIdScheme
4.31 perturbationTypeScheme
4.32 priceQuoteUnitsScheme
4.33 pricingInputTypeScheme
4.34 queryParameterOperatorScheme
4.35 quoteTimingScheme
4.36 restructuringScheme
4.37 routingIdCodeScheme
4.38 settlementMethodScheme
4.39 settlementPriceSourceScheme
4.40 valuationSetDetailScheme
Producers of FpML documents intended for interchange with other parties must encode such documents using either UTF-8 or UTF-16. Consumers of FpML documents must be able to process documents encoded using UTF-8, as well as documents encoded using UTF-16.
For more information, see
FpML element content, as well as values of the FpML id and href attributes, may use any valid XML characters.
For more information, see
FpML uses a subset of the built-in datatypes (both primitive and derived datatypes) as defined in XML Schema Part 2: Datatypes, W3C Recommendation 02 May 2001. The built-in datatypes are described at:
http://www.w3.org/TR/2001/REC-xmlschema-2-20010502/ - built-in-datatypes
The built-in datatypes used in FpML are the following:
The set of valid literals for each datatype are those defined in the XML Schema specification as being its lexical space. Additional constraints are imposed by FpML on the date and time built-in datatypes as described below.
All elements of type date in FpML must contain date values with the format CCYY-MM-DD where "CC" represents the century, "YY" the year, "MM" the month and "DD" the day. The CCYY field must have exactly four digits, the MM and DD fields exactly two digits each; leading zeroes must be used if the field would otherwise have too few digits. A following time zone qualifier is not allowed and year values must be in the range 0001 to 9999. For example, 25 May 2000 would be represented in FpML as 2000-05-25.
All elements of type time in FpML must represent daily recurring instant of time values with the format hh:mm:ss where "hh", "mm" and "ss" represent hour, minute and second respectively. The hh, mm and ss fields must have exactly two digits each; leading zeroes must be used if the field would otherwise have too few digits. FpML imposes the further restriction that the second (ss) component must be '00' and a time zero qualifier is not allowed. For example, 00:00:00 (midnight), 01:00:00 (1:00am), 12:00:00 (midday), 23:30:00 (11:30pm).
A number of data elements defined in FpML are restricted to holding one of a limited set of possible values, e.g. currency, business centers, etc. Such restricted sets of values are frequently referred to as domains.
In FpML, two different codings of domains are used. Domains that are small and not expected to change during the life of the specification are coded using XML schema enumerations. These domains are described elsewhere, in particular in the fpml-enum-4.0.xsd schema file. Other domains are coded using a strategy that has been defined by the Architecture Working Group, referred to as 'Schemes'. Each Scheme is associated with a URI. Coding Schemes can be categorized as one of the following:
In this section, the FpML-controlled Schemes and their associated URIs are defined, as well as URIs assigned by FpML to external coding schemes. The URI construction follows the FpML Architecture Version 2.0 recommendation.
Note that FpML does not define a coding Scheme or URI for the following Schemes:
These are currently assumed to be specific to individual organizations or FpML based implementations.
Although the initial set of Schemes are defined in this document we expect that new versions of Schemes will be released from time to time and published separately. Key benefits of using Schemes are that they allow:
Defines applicable additional terms to a transaction executed under the 2003 ISDA Credit Derivatives Definitions.
http://www.fpml.org/spec/2003/additional-term-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| ISDA2003Credit60BusinessDaySettlementCap | FpML |
Presence of this code 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:
|
The type of measure about an asset. Used for escribing valuation, sensitivity, and risk measures.
http://www.fpml.org/spec/2004/asset-measure-scheme-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| AccruedInterest | FpML |
The value of interest accrued from the previous payment to the valuation date. |
| AverageExposure | FpML |
The average exposure of this trade over its lifetime |
| BucketedCreditSpreadSensitivity | FpML |
Change in NPV/value caused by a point change shift in the credit spread. |
| BucketedDefaultProbabilitySensitivity | FpML |
Change in NPV/value caused by a point change shift in the default probability. |
| BucketedInterestRateConvexity | FpML |
Change in interest rate sensitivity caused by a single point change in the yield curve (IR Gamma). |
| BucketedInterestRateSensitivity | FpML |
Change in NPV/value caused by a single point change in the yield curve (IR Delta). |
| BucketedInterestRateVolatilitySensitivity | FpML |
Change in NPV/value caused by a point change shift in the volatility matrix (vega). |
| BucketedRecoveryRateSensitivity | FpML |
Change in NPV/value caused by a point change shift in the credit default recovery rate. |
| CAPMBeta | FpML |
Systematic risk = Ratio of expected return to expected return of the market |
| Cash | FpML |
Cash paid or received on the valuation date. |
| CleanPrice | FpML |
The price of an asset, expressed in par value, excluding accrued interest. |
| ConvexityAdjustment | FpML |
An adjustment to the price of an instrument (such as a future) to compensate for its lack of convexity. |
| DE@R | FpML |
VAR for 1 day time horizon and 95% level of confidence |
| DirtyPrice | FpML |
The price of an asset, expressed in par value, including accrued interest. |
| DividendYield | FpML |
The dividend payout ratio, expressed as a decimal (e.g. 0.03 = 3%) per year. |
| EconomicCapital | FpML |
Capital which is kept aside to compensate for unexpected losses due to credit risk. (VAR for 1 year and 99.97%) |
| EVA | FpML |
|
| FXSpotSensitivity | FpML |
Change in NPV/value caused by a change in FX spot rate |
| JensensAlpha | FpML |
The average excess return on a portfolio relative to the excess return predicted by CAPM |
| LoanEquivalent | FpML |
The loan equivalent exposure of this asset. |
| MarginalRisk | FpML |
Change of a portfolio VAR with addition of a specified asset. |
| MarketQuote | FpML |
The price of an instrument as quoted on an exchange or similar market. |
| ModifiedSharpeRatio | FpML |
Sharpe ratio where both return and risk are defined relative to a benchmark portfolio |
| NPV | FpML |
Net Present Value = sum of present values of all cash flows; excludes cash flows paid or received on the valution date. |
| ParallelelShiftCreditSpreadSensitivity | FpML |
Change in NPV/value caused by a parallel shift in the credit spread. |
| ParallelelShiftDefaultProbabilitySensitivity | FpML |
Change in NPV/value caused by a parallel shift in the default probability. |
| ParallelelShiftRecoveryRateSensitivity | FpML |
Change in NPV/value caused by a parallel shift in the credit default recovery rate. |
| ParallelShiftInterestRateSensitivity | FpML |
Change in NPV/value caused by a parallel shift in the yield curve/risk free rate of interest (IR Delta, rho). |
| ParallelShiftInterestRateVolatilitySensitivity | FpML |
Change in NPV/value caused by a parallel shift in the volatility matrix (vega). |
| PayNPV | FpML |
NPV of cash flows for which the base counterparty pays. |
| PeakExposure | FpML |
The peak/potential exposure of this trade over its lifetime |
| RAROC | FpML |
Risk adjusted return on capital = (Adjusted income)/(Capital at risk) |
| ReceiveNPV | FpML |
NPV of cash flows for which the base counterparty receives. |
| RegulatoryCapital | FpML |
A provision for expected losses, required by the BIS. |
| ReturnOnEconomicCapital | FpML |
The return from an asset expressed as a percentage of the amount of economic capital involved in holding that asset. |
| ReturnOnRegulatoryCapital | FpML |
The return from an asset expressed as a percentage of the amount of regulatory capital involved in holding that asset. |
| RiskConcentration | FpML |
Measures the amount of risk concentrated in individual counterparties, similar assets, common geographical locations, or common industries. |
| ROA | FpML |
Return on assets = (Adjusted income)/Assets |
| RORAC | FpML |
Return on risk-adjusted capital = (Adjusted income)/(BIS risk - based capital requirement) |
| SortinoRatio | FpML |
Similar to Sharpe Ratio but risk defined as downside risk rather than portfolio variance. |
| SparpeRatio | FpML |
The ratio between portfolio return in excess of the risk-free return and portfolio risk (measured as volatility) |
| TreynorRatio | FpML |
Similar to Sharpe Ratio but risk defined as CAPM systematic risk (beta) rather than portfolio variance. |
| ValuationDateChangeSensitivity | FpML |
Change in NPV/value caused by a change in valuation date (theta). |
| VAR | FpML |
Value at Risk is the amount of money that could be lost over a pre-defined period of time with a a given level of confidence. |
| Volatility | FpML |
The underlying price volatility used for calculating the value of this asset. |
Defines the type of Broker Confirm the FpML trade represents.
http://www.fpml.org/spec/2004/broker-confirmation-type-2-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| DJ.CDX.EM | FpML |
Used for CDS Index trades relating to Dow Jones CDX.EM index series. |
| DJ.CDX.NA | FpML |
Used for CDS Index trades relating to Dow Jones CDX.NA.IG and Dow Jones CDX.NA.HY index series. |
| DJ.iTraxx.Europe | FpML |
Used for CDS Index trades relating to Dow Jones iTraxx Europe index series. |
| ISDACreditBrokerAsia | FpML |
Credit Derivatives Broker Confirm for a trade brokered under the accepted market practices and conventions of the Asian market for Corporate Reference Entities. |
| ISDACreditBrokerAustraliaNewZealand | FpML |
Credit Derivatives Broker Confirm for a trade brokered under the accepted market practices and conventions of the Australia and New Zealand market for Corporate Reference Entities. |
| ISDACreditBrokerEuropean | FpML |
Credit Derivatives Broker Confirm for a trade brokered under the accepted market practices and conventions of the European market for Corporate Reference Entities. |
| ISDACreditBrokerJapan | FpML |
Credit Derivatives Broker Confirm for a trade brokered under the accepted market practices and conventions of the Japanese market for Corporate Reference Entities. |
| ISDACreditBrokerNorthAmerican | FpML |
Credit Derivatives Broker Confirm for a trade brokered under the accepted market practices and conventions of the North American market for Corporate Reference Entities. |
| ISDACreditBrokerSingapore | FpML |
Credit Derivatives Broker Confirm for a trade brokered under the accepted market practices and conventions of the Singapore market for Corporate Reference Entities. |
| ISDACreditBrokerSovereignAsia | FpML |
Credit Derivatives Broker Confirm for a trade brokered under the accepted market practices and conventions of the Asian market for Sovereign Reference Entities. |
| ISDACreditBrokerSovereignCentralAndEasternEurope | FpML |
Credit Derivatives Broker Confirm for a trade brokered under the accepted market practices and conventions of the Central and Eastern Europe market for Sovereign Reference Entities. |
| ISDACreditBrokerSovereignJapan | FpML |
Credit Derivatives Broker Confirm for a trade brokered under the accepted market practices and conventions of the Japanese market for Sovereign Reference Entities. |
| ISDACreditBrokerSovereignLatinAmerica | FpML |
Credit Derivatives Broker Confirm for a trade brokered under the accepted market practices and conventions of the Latin America market for Sovereign Reference Entities. |
| ISDACreditBrokerSovereignMiddleEast | FpML |
Credit Derivatives Broker Confirm for a trade brokered under the accepted market practices and conventions of the Middle East market for Sovereign Reference Entities. |
| ISDACreditBrokerSovereignWesternEurope | FpML |
Credit Derivatives Broker Confirm for a trade brokered under the accepted market practices and conventions of the Western Europe market for Sovereign Reference Entities. |
A financial business center location
http://www.fpml.org/spec/2004/business-center-2-0
In general, the codes are based on the ISO country code and the English name of the location.
Additional location codes can be built according to the following rules. The first two characters represent the ISO country code, the next two characters represent a) if the location name is one word, the first two letters of the location b) if the location name consists of at least two words, the first letter of the first word followed by the first letter of the second word .
There are exceptions to this rule. For example, the TARGET (Trans-European Automated Real-time Gross settlement Express Transfer system) business center for Euro settlement has a code of EUTA.
This coding scheme is currently consistent with the S.W.I.F.T. Financial Center scheme used in the MT340/MT360/MT361 message definitions, although FpML controls the Business Center Scheme and it should not be assumed that both schemes will remain synchronized.
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| ARBA | FpML |
Buenos Aires |
| ATVI | FpML |
Vienna |
| AUME | FpML |
Melbourne |
| AUSY | FpML |
Sydney |
| BEBR | FpML |
Brussels |
| BRSP | FpML |
Sao Paulo |
| CAMO | FpML |
Montreal |
| CATO | FpML |
Toronto |
| CHGE | FpML |
Geneva |
| CHZU | FpML |
Zurich |
| CLSA | FpML |
Santiago |
| CNBE | FpML |
Beijing |
| CZPR | FpML |
Prague |
| DEFR | FpML |
Frankfurt |
| DKCO | FpML |
Copenhagen |
| EETA | FpML |
Tallinn |
| ESMA | FpML |
Madrid |
| EUTA | FpML |
TARGET (euro 'Business Center') |
| FIHE | FpML |
Helsinki |
| FRPA | FpML |
Paris |
| GBLO | FpML |
London |
| GRAT | FpML |
Athens |
| HKHK | FpML |
Hong Kong |
| IDJA | FpML |
Jakarta |
| IEDU | FpML |
Dublin |
| ILTA | FpML |
Tel Aviv |
| INMU | FpML |
Mumbai, India |
| ITMI | FpML |
Milan |
| ITRO | FpML |
Rome |
| JPTO | FpML |
Tokyo |
| KRSE | FpML |
Seoul |
| LBBE | FpML |
Beirut |
| LULU | FpML |
Luxembourg |
| MXMC | FpML |
Mexico City |
| MYKL | FpML |
Kuala Lumpur |
| NLAM | FpML |
Amsterdam |
| NOOS | FpML |
Oslo |
| NYFD | FpML |
New York Fed Business Day (as defined in 2000 ISDA Definitions Section 1.9) |
| NYSE | FpML |
New York Stock Exchange Business Day (as defined in 2000 ISDA Definitions Section 1.10) |
| NZAU | FpML |
Auckland |
| NZWE | FpML |
Wellington |
| PAPC | FpML |
Panama City |
| PHMA | FpML |
Manila |
| PLWA | FpML |
Warsaw |
| PTLI | FpML |
Lisbon |
| RUMO | FpML |
Moscow |
| SARI | FpML |
Riyadh |
| SEST | FpML |
Stockholm |
| SGSI | FpML |
Singapore |
| SKBR | FpML |
Bratislava |
| THBA | FpML |
Bangkok |
| TRAN | FpML |
Ankara |
| TWTA | FpML |
Taipei |
| USCH | FpML |
Chicago |
| USGS | FpML |
U.S. Government Securities Business Day (as defined in 2000 ISDA Definitions Section 1.11) |
| USLA | FpML |
Los Angeles |
| USNY | FpML |
New York |
| VECA | FpML |
Caracas, Venezuela |
| ZAJO | FpML |
Johannesburg |
A clearance system
http://www.fpml.org/spec/2002/clearance-system-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Clearstream | FpML |
Clearstream International |
| CREST | FpML |
CREST |
| DTCC | FpML |
The Depository Trust and Clearing Corporation |
| Euroclear | FpML |
Euroclear |
| MonteTitoli | FpML |
Monte Titoli SPA |
The frequency at which a rate is compounded.
http://www.fpml.org/spec/2004/compounding-frequency-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Annual | FpML |
The curve represents annual compounding. |
| Continous | FpML |
The curve represents continuous compounding. |
| Daily | FpML |
The curve represents daily compounding. |
Specifies a set of standard contract definitions relevant to the transaction
http://www.fpml.org/spec/2003/contractual-definitions-3-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| ISDA1991 | FpML |
ISDA 1991 Definitions |
| ISDA1996Equity | FpML |
ISDA 1996 Equity Derivatives Definitions |
| ISDA1997GovernmentBond | FpML |
ISDA 1997 Government Bond Option Definitions |
| ISDA1998FX | FpML |
ISDA 1998 FX and Currency Option Definitions |
| ISDA1999Credit | FpML |
ISDA 1999 Credit Derivatives Definitions |
| ISDA2000 | FpML |
ISDA 2000 Definitions |
| ISDA2002Equity | FpML |
ISDA 2002 Equity Derivatives Definitions |
| ISDA2003Credit | FpML |
ISDA 2003 Credit Derivatives Definitions |
| ISDA2004Novation | FpML |
ISDA 2004 Novation Definitions |
Defines the supplements to a base set of ISDA Definitions that are applicable to the transaction.
http://www.fpml.org/spec/2004/contractual-supplement-3-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| ISDA1999CreditConvertibleExchangeableAccretingObligations | FpML |
Supplement to the 1999 ISDA Credit Derivatives Definitions Relating to Convertible, Exchangeable or Accreting Obligations dated November 9, 2001. |
| ISDA1999CreditRestructuring | FpML |
Restructuring Supplement to the 1999 ISDA Credit Derivatives Definitions dated May 11, 2001. |
| ISDA1999CreditSuccessorAndCreditEvents | FpML |
Supplement Relating to Successor and Credit Events to the 1999 ISDA Credit Derivatives Definitions dated November 28, 2001. |
| ISDA2003Credit2005MatrixSupplement | FpML |
2005 Matrix Supplement to the 2003 ISDA Credit Derivatives. |
| ISDA2003CreditMay2003 | FpML |
May 2003 Supplement to the 2003 ISDA Credit Derivatives Definitions. |
| ISDA2003CreditMonolineInsurers | FpML |
Additional Provisions for Physically Settled Default Swaps Monoline Insurer as Reference Entity dated May 9, 2003. |
| ISDA2003CreditMonolineInsurers2005 | FpML |
Additional Provisions for Physically Settled Default Swaps Monoline Insurer as Reference Entity dated January 21, 2005. |
| ISDA2003CreditRepublicOfHungary | FpML |
Additional Provisions for the Republic of Hungary: Obligation Characteristics and Deliverable Obligation Characteristics dated August 13, 2004. |
| ISDA2003CreditRepublicOfHungary2005 | FpML |
Additional Provisions for the Republic of Hungary: Obligation Characteristics and Deliverable Obligation Characteristics dated February 14, 2005. |
| ISDA2003CreditRussianFederation | FpML |
Additional Provisions for the Russian Federation: Obligation Characteristics and Deliverable Obligation Characteristics dated August 13, 2004. |
| ISDA2003CreditUSMunicipals | FpML |
Additional Provisions for Credit Derivative Transactions - U.S. Municipal Entity as Reference Entity dated September 17, 2004. |
The code representation of a country.
http://www.fpml.org/ext/iso3166
A valid 2 character country code as defined by the ISO standard 3166 - Codes for representation of countries http://www.niso.org/standards/resources/3166.html.
Defines a scheme of values for specifiying if the bond has a variable coupon, step-up/down coupon or a zero-coupon.
http://www.fpml.org/spec/2004/coupon-type-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Fixed | FpML |
Bond has fixed rate coupon. |
| Float | FpML |
Bond has floating rate coupon. |
| Struct | FpML |
Bond has structured coupon. |
Specifies the repayment precedence of a debt instrument.
http://www.fpml.org/spec/2004/credit-seniority-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Senior | FpML |
Top precedence. |
| SubLowerTier2 | FpML |
Subordinate, Lower Tier 2. |
| SubTier1 | FpML |
Subordinate Tier 1. |
| SubTier3 | FpML |
Subordinate, Tier 3. |
| SubUpperTier2 | FpML |
Subordinate, Upper Tier 2. |
The code representation of a currency.
http://www.fpml.org/ext/iso4217-2001-08-15
A valid currency code as defined by the ISO standard 4217 - Codes for representation of currencies and funds.
The specification of the cut name, or expiry date and time, for an FX OTC option.
http://www.fpml.org/spec/2002/cut-name-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Comex | FpML |
2:30 p.m. New York time. |
| ECB | FpML |
1:30 p.m. London time. |
| LondonEveningGold | FpML |
3:00 p.m. London time. |
| LondonEveningPgm | FpML |
2:00 p.m. London time. |
| LondonMorningGold | FpML |
10:30 a.m. London time. |
| LondonMorningPgm | FpML |
9:45 a.m. London time. |
| Mexico | FpML |
12:30 p.m. New York time. |
| NewYork | FpML |
10:00 a.m. New York time. |
| NewYorkPgm | FpML |
9:30 a.m. New York time. |
| SilverLondon | FpML |
12:15 p.m. London time. |
Defines a scheme of values for specifiying how the number of days between two dates is calculated for purposes of calculation of a fixed or floating payment amount and the basis for how many days are assumed to be in a year.
http://www.fpml.org/spec/2000/day-count-fraction-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| 1/1 | FpML |
Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (a). |
| 30/360 | FpML |
Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (e). |
| 30E/360 | FpML |
Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (f). |
| ACT/360 | FpML |
Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (d). |
| ACT/365.FIXED | FpML |
Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (c). |
| ACT/ACT.AFB | FpML |
The Fixed/Floating Amount will be calculated in accordance with the "BASE EXACT/EXACT" day count fraction, as defined in the "Definitions Communes ?lusieurs Additifs Techniques" published by the Association Fran?se des Banques in September 1994. |
| ACT/ACT.ISDA | FpML |
Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (b). |
| ACT/ACT.ISMA | FpML |
The Fixed/Floating Amount will be calculated in accordance with Rule 251 of the statutes, by-laws, rules and recommendations of the International Securities Market Association, as published in April 1999, as applied to straight and convertible bonds issued after December 31, 1998, as though the Fixed/Floating Amount were the interest coupon on such a bond. |
Specifies the method by which a derivative is computed.
http://www.fpml.org/spec/2004/derivative-calculation-method-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Analytic | FpML |
The derivative is computed analytically, e.g. by a closed form analytical equation. |
| Numerical | FpML |
The derivative is computed by other (non-perturbative) numerical means, such as a direct output from a numerical model. |
| Perturbation | FpML |
The derivative is computed by a numerical difference method, ie. by numerically perturbing the input, recalculating the measure, and dividing by the amount of the perturbation. |
| Substitution | FpML |
The derivative is computed by finite difference based on the substitution of a supplied pricing input, e.g. a bumped yield curve. |
A qualifier for the entity identifier that specifies which set of entity identifiers has been used to specify an entity.
http://www.fpml.org/spec/2003/entity-id-RED-1-0
RED Entity Identifiers
A qualifier for the entity name that specifies which set of entity names has been used to specify an entity.
http://www.fpml.org/spec/2003/entity-name-RED-1-0
RED Entity Names
A qualifier for the exchange identifier that specifies which set of exchange identifiers has been used to specify a securities or derivatives exchange.
http://www.fpml.org/spec/2002/exchange-id-MIC-1-0
Market Identifier Code
http://www.fpml.org/spec/2002/exchange-id-REC-1-0
Reuters Exchange Code
The specification of an ISDA Rate Option for purposes of determining a relevant rate on a given reset date. Several URIs are defined to allow floating rate index code definitions to be associated with specific definitions and provisions published by ISDA together with proprietary additions
http://www.fpml.org/ext/isda-2000-definitions
Valid ISDA Rate Options as published by ISDA in the Annex to the 2000 Definitions, Section 7.1. Rate Options, and amended and supplemented through to the tradeDate of the trade. Amendments and supplements to the Annex will be deemed to have been made when published by ISDA
http://www.fpml.org/ext/isda-2000-definitions-june-2000-version-annex
Valid ISDA Rate Options as published by ISDA in the Annex to the 2000 ISDA Definitions (June 2000 Version), Section 7.1. Rate Options.
http://www.fpml.org/ext/isda-euro-definitions
Valid ISDA Euro Rate Options as published by ISDA in the 1998 ISDA Euro Definitions, Section 3.1. Euro Rate Options
http://www.fpml.org/ext/isda-1998-supplement
Valid ISDA Rate Options as published by ISDA in the 1998 Supplement to the 1991 ISDA Definitions, Section 7.1. Rate Options
http://www.fpml.org/ext/isda-1991-definitions
Valid ISDA Rate Options as published by ISDA in the 1991 ISDA Definitions, Section 7.1. Rate Options
Identification of the law governing the transaction.
http://www.fpml.org/spec/2002/governing-law-1-0
In general the codes are the ISO country code where the applicable law is the law of an entire country
For countries that have more than one legal regime the code is constructed from the two-character ISO country code followed by two characters indicating the legal regime. In the cases of Canada and the United States of America, these two characters are the conventional abbreviations for the provinces and states respectively. In the case of the United Kingdom, the first two characters are "GB" followed by two characters indicating the legal regime.
The following are examples of valid codes, not an exhaustive list.
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| CAAB | FpML |
Alberta law |
| CABC | FpML |
British Columbia Law |
| CAMN | FpML |
Manitoba law |
| CAON | FpML |
Ontario law |
| CAQC | FpML |
Quebec law |
| DE | FpML |
German law |
| FR | FpML |
French law |
| GBEN | FpML |
English law |
| GBGY | FpML |
The law of the island of Guernsey |
| GBIM | FpML |
The law of the Isle of Man |
| GBJY | FpML |
The law of the island of Jersey |
| GBSC | FpML |
Scottish law |
| JP | FpML |
Japanese law |
| USCA | FpML |
Californian law |
| USIL | FpML |
Illinois law |
| USNY | FpML |
New York law |
Defines a scheme of values for specifiying the CDX index annex source.
http://www.fpml.org/spec/2004/cdx-index-annex-source-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| MasterConfirmation | FpML |
As defined in the relevant form of Master Confirmation applicable to the confirmation of Dow Jones CDX indices. |
| Publisher | FpML |
As defined in the relevant form of Master Confirmation applicable to the confirmation of Dow Jones CDX indices. |
The specification of a list of information providers and vendors who publish financial markets information. Their information sources will typically be used to determine a relevant market rate, price or index.
http://www.fpml.org/spec/2003/information-provider-2-0
List compiled from the Annex to the 2000 ISDA Definitions Section 7.2 - Certain Published and Displayed Sources, and other sources.
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| BankOfCanada | ISDA |
The central bank of Canada. |
| BankOfJapan | ISDA |
The central bank of Japan. |
| Bloomberg | ISDA |
Bloomberg LP. |
| FederalReserve | ISDA |
The Federal Reserve, the central bank of the United States. |
| FHLBSF | ISDA |
The Federal Home Loan Bank of San Francisco, or its successor. |
| ISDA | ISDA |
International Swaps and Derivatives Association, Inc. |
| Reuters | ISDA |
Reuters Group Plc. |
| SAFEX | ISDA |
South African Futures Exchange, or its successor. |
| Telerate | ISDA |
Telerate, Inc. |
A qualifier for the instrument identifier that specifies which set of instrument identifiers has been used to specify an instrument.
http://www.fpml.org/spec/2002/instrument-id-Bloomberg-1-0
Bloomberg ticker symbol
http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0
Committee on Uniform Securities Identification Procedures
http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0
International Securities Identification Number
http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC-1-0
Reuters Instrument Code (RIC)
http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0
RED pair code
http://www.fpml.org/spec/2002/instrument-id-SEDOL-1-0
London Stock Exchange Daily Official List
http://www.fpml.org/spec/2002/instrument-id-Sicovam-1-0
Sicovam code
Specifies the type of interpolation used.
http://www.fpml.org/spec/2004/interpolation-method-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| LinearZeroYield | FpML |
TBD |
Defines the handling of a averaging date market disruption for an equity derivative transaction.
http://www.fpml.org/spec/2004/marketDisruption-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| ModifiedPostponement | FpML |
As defined in section 6.7 para (c) subpara (iii) of the ISDA 2002 Equity Derivative definitions. |
| Omission | FpML |
As defined in section 6.7 para (c) subpara (i) of the ISDA 2002 Equity Derivative definitions. |
| Postponement | FpML |
As defined in section 6.7 para (c) subpara (ii) of the ISDA 2002 Equity Derivative definitions. |
Defines the type of the master agreement governing the transaction.
http://www.fpml.org/spec/2002/master-agreement-type-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| AFB | FpML |
AFB Master Agreement for Foreign Exchange and Derivatives Transactions |
| German | FpML |
German Master Agreement for Financial derivatives and Addendum for Options on Stock Exchange Indices or Securities |
| ISDA1987 | FpML |
ISDA 1987 Master Agreement |
| ISDA1992 | FpML |
ISDA 1992 Master Agreement |
| ISDA2002 | FpML |
ISDA 2002 Master Agreement |
| Swiss | FpML |
Swiss Master Agreement for OTC Derivatives Instruments |
Defines the type of master confirmation agreement governing the transaction.
http://www.fpml.org/spec/2004/master-confirmation-type-3-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| 2003CreditIndex | FpML |
Used for CDS Index trades. Relevant Master Confirmation determined by the contents of the creditDefaultSwap element. Best practice is to use the most specific code that applies. |
| 2004EquityEuropeanInterdealer | FpML |
A privately negotiated European Interdealer Master Confirmation Agreement applies. |
| DJ.CDX.NA | FpML |
Used for CDS Index trades executed under the Dow Jones CDX Master Confirmation that covers both CDX NA IG and CDX NA HY. |
| DJ.iTraxx.Europe | FpML |
Used for CDS Index trades executed under the Dow Jones iTraxx Europe Master Confirmation Agreement. |
| ISDA1999Credit | FpML |
ISDA 1999 Master Credit Derivatives Confirmation Agreement |
| ISDA2003CreditAsia | FpML |
ISDA 2003 Master Credit Derivatives Confirmation Agreement interpreted as if Asia had been specified as the relevant Transaction Type in the Transaction Supplement. |
| ISDA2003CreditAustraliaNewZealand | FpML |
ISDA 2003 Master Credit Derivatives Confirmation Agreement interpreted as if Australia and New Zealand had been specified as the relevant Transaction Type in the Transaction Supplement. |
| ISDA2003CreditEuropean | FpML |
ISDA 2003 Master Credit Derivatives Confirmation Agreement interpreted as if European had been specified as the relevant Transaction Type in the Transaction Supplement. |
| ISDA2003CreditJapan | FpML |
ISDA 2003 Master Credit Derivatives Confirmation Agreement interpreted as if Japan had been specified as the relevant Transaction Type in the Transaction Supplement. |
| ISDA2003CreditNorthAmerican | FpML |
ISDA 2003 Master Credit Derivatives Confirmation Agreement interpreted as if North American had been specified as the relevant Transaction Type in the Transaction Supplement. |
| ISDA2003CreditSingapore | FpML |
ISDA 2003 Master Credit Derivatives Confirmation Agreement interpreted as if Singapore had been specified as the relevant Transaction Type in the Transaction Supplement. |
| ISDA2003CreditSovereignAsia | FpML |
ISDA Sovereign 2003 Master Credit Derivatives Confirmation Agreement interpreted as if Asia had been specified as the relevant Transaction Type in the Transaction Supplement. The 2003 Sovereign Master Confirmation has been superceded by the 2004. |
| ISDA2003CreditSovereignCentralAndEasternEurope | FpML |
ISDA Sovereign 2003 Master Credit Derivatives Confirmation Agreement interpreted as if Central and Eastern Europe had been specified as the relevant Transaction Type in the Transaction Supplement. The 2003 Sovereign Master Confirmation has been superceded by the 2004. |
| ISDA2003CreditSovereignJapan | FpML |
ISDA Sovereign 2003 Master Credit Derivatives Confirmation Agreement interpreted as if Japan had been specified as the relevant Transaction Type in the Transaction Supplement. The 2003 Sovereign Master Confirmation has been superceded by the 2004. |
| ISDA2003CreditSovereignLatinAmerica | FpML |
ISDA Sovereign 2003 Master Credit Derivatives Confirmation Agreement interpreted as if Latin America had been specified as the relevant Transaction Type in the Transaction Supplement. The 2003 Sovereign Master Confirmation has been superceded by the 2004. |
| ISDA2003CreditSovereignMiddleEast | FpML |
ISDA Sovereign 2003 Master Credit Derivatives Confirmation Agreement interpreted as if Middle East had been specified as the relevant Transaction Type in the Transaction Supplement. The 2003 Sovereign Master Confirmation has been superceded by the 2004. |
| ISDA2003CreditSovereignWesternEurope | FpML |
ISDA Sovereign 2003 Master Credit Derivatives Confirmation Agreement interpreted as if Western Europe had been specified as the relevant Transaction Type in the Transaction Supplement. The 2003 Sovereign Master Confirmation has been superceded by the 2004. |
| ISDA2004CreditSovereignAsia | FpML |
ISDA Sovereign 2004 Master Credit Derivatives Confirmation Agreement interpreted as if Asia had been specified as the relevant Transaction Type in the Transaction Supplement. |
| ISDA2004CreditSovereignEmergingEuropeanAndMiddleEastern | FpML |
ISDA Sovereign 2004 Master Credit Derivatives Confirmation Agreement interpreted as if Emerging European and Middle Eastern had been specified as the relevant Transaction Type in the Transaction Supplement. |
| ISDA2004CreditSovereignJapan | FpML |
ISDA Sovereign 2004 Master Credit Derivatives Confirmation Agreement interpreted as if Japan had been specified as the relevant Transaction Type in the Transaction Supplement. |
| ISDA2004CreditSovereignLatinAmerican | FpML |
ISDA Sovereign 2004 Master Credit Derivatives Confirmation Agreement interpreted as if Latin American had been specified as the relevant Transaction Type in the Transaction Supplement. |
| ISDA2004CreditSovereignWesternEuropean | FpML |
ISDA Sovereign 2004 Master Credit Derivatives Confirmation Agreement interpreted as if Western European had been specified as the relevant Transaction Type in the Transaction Supplement. |
| ISDA2004EquityAmericasInterdealer | FpML |
ISDA 2004 Americas Interdealer Master Equity Derivatives Confirmation Agreement applies. |
| ISDA2004EquityCanadianInterdealer | FpML |
ISDA 2004 Americas Interdealer Master Equty Derivatives Confirmation Agreement and 2004 Canadian Supplement to the Master Confirmation applies. |
Defines a scheme of transaction types specified in the Credit Derivatives Physical Settlement Matrix.
http://www.fpml.org/spec/2004/credit-matrix-transaction-type-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| AsiaCorporate | FpML |
Matrix Transaction Type of Asia Corporate. |
| AsiaSovereign | FpML |
Matrix Transaction Type of Asia Sovereign. |
| AustraliaCorporate | FpML |
Matrix Transaction Type of Australia Corporate. |
| AustraliaSovereign | FpML |
Matrix Transaction Type of Australia Sovereign. |
| EmergingEuropeanAndMiddleEasternSovereign | FpML |
Matrix Transaction Type of Emerging European and Middle Eastern Sovereign. |
| EuropeanCorporate | FpML |
Matrix Transaction Type of European Corporate. |
| JapanCorporate | FpML |
Matrix Transaction Type of Japan Corporate. |
| JapanSovereign | FpML |
Matrix Transaction Type of Japan Sovereign. |
| LatinAmericaSovereign | FpML |
Matrix Transaction Type of Latin America Sovereign. |
| NewZealandCorporate | FpML |
Matrix Transaction Type of New Zealand Corporate. |
| NewZealandSovereign | FpML |
Matrix Transaction Type of New Zealand Sovereign. |
| NorthAmericanCorporate | FpML |
Matrix Transaction Type of North American Corporate. |
| SingaporeCorporate | FpML |
Matrix Transaction Type of Singapore Corporate. |
| SingaporeSovereign | FpML |
Matrix Transaction Type of Singapore Sovereign. |
| WesternEuropeanSovereign | FpML |
Matrix Transaction Type of Western European Sovereign. |
Defines a scheme of values for identifying the form of applicable matrix.
http://www.fpml.org/spec/2004/matrix-type-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| CreditDerivativesPhysicalSettlementMatrix | FpML |
The ISDA-published Credit Derivatives Physical Settlement Matrix. |
| SettlementMatrix | FpML |
The ISDA-published 2000 ISDA Definitions Settlement Matrix for Early Terminations and Swaptions. |
The code for identification of parties involved in a trade.
http://www.fpml.org/ext/iso9362
Valid bank identifier codes (BICs) as defined by the ISO standard 9362 - Bank identifier codes (BIC)
S.W.I.F.T is the designated authority for the assignment of BIC codes. They maintain an online BIC directory at http://www.swift.com
http://www.fpml.org/ext/duns-numbers
The DUNS number is D&B's distinctive 9-digit identification sequence and is an internationally recognized company identifier for EDI and global electronic commerce transactions. (http://www.dnb.com)
http://www.fpml.org/ext/reuters-dealer-codes
The Reuters dealing code is a unique 4-character code assigned by Reuters that identifies a particular party and are commonly used to identify a company in various types of financial transactions
Specifies the type of perturbation applied to compute a derivative perturbatively.
http://www.fpml.org/spec/2004/perturbation-type-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Absolute | FpML |
The perturbation is absolute, ie. it is ADDED to the original value. |
| Relative | FpML |
The perturbation is relative, ie. it is MULTIPLIED by the original value. |
Specifies the units in which a price is quoted.
http://www.fpml.org/spec/2004/price-quote-units-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| BasisPointValue | FpML |
The value (expressed in currency units) per basis point change in the underlying rate. Typically used for expressing sensitivity to interest rate chages ("IR delta" risk, "rho" risk). |
| BasisPointValuePerBasisPoint | FpML |
The Basis Point Value (BPV) (expressed in currency units per basis point) per basis point change in the underlying rate. Typically used for expressing second order sensitivity to interest rate changes (IR "gamma" risk, "convexity"). |
| Discount | FpML |
A discount factor expressed as a decimal, e.g. 0.95. |
| ExchangeRate | FpML |
A dimensionless conversion rate, e.g. 1.2. Typically used for FX. |
| IRFuturesPrice | FpML |
A IMM futures style price, e.g. 9750 is equivalent to 2.5%. |
| LogNormalVolatility | FpML |
A log normal volatility, expressed in %/month [?] . |
| ParValueDecimal | FpML |
A price, expressed in percentage of face value as a decimal, e.g. 101.5. |
| ParValueFraction | FpML |
A price, expressed in percentage of face value with fractions, e.g. 101 3/8. Normally used for quoting bonds. |
| Price | FpML |
A price, expressed in currency units. |
| Rate | FpML |
A yield (typically an interest rate) expressed as a decimal. I.e. 0.05 means 5%. |
| Shares | FpML |
The number of units of stock. Typically used for expressing sensitivity to equity prices (equity "delta" risk). |
| ValuePerDay | FpML |
The value (expressed in currency units) for a one day change in a valuation date. Typically used for expressing sensitivity to the passage of time ("theta" risk, "carry", etc.). |
| ValuePerPercent | FpML |
The value (expressed in currency units) per percent change in the underlying rate. Typically used for expressing sensitivity to volatility changes ("vega" risk). |
Specifies the type of pricing structure represented.
http://www.fpml.org/spec/2004/pricing-input-type-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| AssetPrices | FpML |
A representation of the prices of collection of assets (in any asset class). |
| CreditCurve | FpML |
A representation of credit pricing at different maturities. |
| FXForecastCurve | FpML |
A representation of forecast FX rates at different maturities. |
| Time | FpML |
The valuation date or other time input. |
| VolatilityMatrix | FpML |
A representation of the volatlity of an asset (in any asset class). |
| YieldCurve | FpML |
A representation of the interest rates (yields) at different maturities. |
Specifies the query parameter operator.
http://www.fpml.org/spec/2004/query-parameter-operator-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Equals | FpML |
The equals operator. |
| GreaterThan | FpML |
The greater than operator. |
| LessThan | FpML |
The less than operator. |
| NotEquals | FpML |
The not equals operator. |
Specifies the type of the time of the quote.
http://www.fpml.org/spec/2004/quote-timing-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Close | FpML |
The quotation represents the end of day/market close. |
| High | FpML |
The quotation represents the highest value obtained during the day. |
| Low | FpML |
The quotation represents the lowest value obtained during the day. |
| Open | FpML |
The quotation represents the beginning of day/market open. |
Specifies the form of the restructuring credit event that is applicable to the credit default swap.
http://www.fpml.org/spec/2003/restructuring-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| ModModR | FpML |
2003 Definitions: Restructuring (Section 4.7) and Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation (Section 2.33) apply. |
| ModR | FpML |
1999 Definitions: Restructuring definition and May 2001 Restructuring supplement apply.Note that the 1999 Restructuring definition can be altered on a bilateral basis with the November 2001 Successor Supplement. 2003 Definitions: Restructuring (Section 4.7) and Restructuring Maturity Limitation and Fully Transferable Obligation (Section 2.32) apply. |
| R | FpML |
Restructuring as defined in the applicable ISDA Credit Derivatives Definitions. (1999 or 2003). Note that the 1999 Restructuring definition can be altered on a bilateral basis with the November 2001 Successor Supplement. |
The specification of the routing id code, which can be used to determine the coding convention for the settlement.
http://www.fpml.org/spec/2002/routing-id-code-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| ABA | FpML |
ABA number. |
| BIC | FpML |
SWIFT-assigned BIC code. |
| ChapsNumber | FpML |
Chaps account number. |
| ChipsUID | FpML |
Chips UID code. |
| IBAN | FpML |
European Banking Federation number. |
| NatBankId | FpML |
National Bank id code. |
The specification of the method for settling a particular trade.
http://www.fpml.org/spec/2002/settlement-method-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Chaps | FpML |
To be settled via Chaps network. |
| ChipsABA | FpML |
To be settled via Chips ABA. |
| ChipsUID | FpML |
To be settled via Chips UID. |
| CLS | FpML |
To be settled via CLS Bank. |
| DDA | FpML |
To be settled over DDA account. |
| Fedwire | FpML |
To be settled via U.S. Fedwire. |
| SWIFT | FpML |
To be settled via SWIFT network. |
The source from which the settlement price is to be obtained.
http://www.fpml.org/spec/2002/settlement-price-source-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Bid | FpML |
The bid price per share on the exchange at the valuation time on the valuation date |
| Mid | FpML |
The mid-market price per share on the exchange at the valuation time on the valuation date |
| NASDAQ | FpML |
An amount equal to the arithmetic average of the two prices constituting the Bid/Offer Spread. "Bid/Offer Spread" means the highest bid price per share and the corresponding lowest offer price per share last published prior to or at the expiration time on the expiration date. |
| Offer | FpML |
The offer price per share on the exchange at the valuation time on the valuation date |
| OfficialClose | FpML |
(i) The published official closing price of the shares on the exchange on the valuation date, or (ii) the official closing level of the index, as published by the index sponsor, on the valuation date |
| OfficialSettlement | FpML |
The official settlement price (however described under the rules of the relevant exchange or its clearing house) on maturity of any of the relevant exchange-traded contracts published by the exchange or its clearing house. For this purpose, exchange-traded contract shall mean a future or listed option contract on the Index whose delivery date is expected to be on the valuation date |
| PrezzoDiRiferimento | FpML |
The official reference price per share quoted by the exchange on the exchange business day immediately prior to the expiration date equal to the weighted average of the last 10% traded volume on the share |
Specifies the amount of detail provided in the valuation set, e.g. is market environment data provided, are risk definitions provided, etc.
http://www.fpml.org/spec/2004/valuation-set-detail-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Full | FpML |
Provide full calculation details for each quotation. |
| Minimum | FpML |
Least applicable amount of data. |
| Moderate | FpML |
Provide specific definition of each quotation with respect to market inputs. |