Copyright 1999 - 2002. 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
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 2.0 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 2.0 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 2.0 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 at least 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 the FpML 2.0 DTD are restricted to holding one of a limited set of possible values, e.g. dayCountConvention, dayCountFraction, currency etc. Such restricted sets of values are frequently referred to as domains. XML 1.0 has some limited support for the concept of domains through the use of enumerated attributes.
FpML has adopted the principle of not using attributes to hold business data. As a consequence, XML enumerations are not used and an alternative strategy 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 1.0 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:
The method of calculation to be used when averaging rates. Per ISDA 2000 Definitions, Section 6.2. Certain Definitions Relating to Floating Amounts.
http//www.fpml.org/spec/2000/averaging-method-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Unweighted | ISDA | The arithmetic mean of the relevant rates for each reset date. |
| Weighted | ISDA | The arithmetic mean of the relevant rates in effect for each day in a calculation period calculated by multiplying each relevant rate by the number of days such relevant rate is in effect, determining the sum of such products and dividing such sum by the number of days in the calculation period. |
A financial business center location
http://www.fpml.org/spec/2000/business-center-1-0
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 Centre 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 |
| ILTA | FpML | Tel Aviv |
| 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 |
| NZAU | FpML | Auckland |
| NZWE | FpML | Wellington |
| PAPC | FpML | Panama City |
| PHMA | FpML | Manila |
| PLWA | FpML | Warsaw |
| RUMO | FpML | Moscow |
| SARI | FpML | Riyadh |
| SEST | FpML | Stockholm |
| SGSI | FpML | Warsaw |
| SKBR | FpML | Bratislava |
| THBA | FpML | Bangkok |
| TRAN | FpML | Ankara |
| TWTA | FpML | Taipei |
| USCH | FpML | Chicago |
| USLA | FpML | Los Angeles |
| USNY | FpML | New York |
| ZAJO | FpML | Johannesburg |
The convention for adjusting any relevant date if it would otherwise fall on a day that is not a valid business day. Note that FRN is included herer as a type of business day convention although it does not strictly fall within ISDA's definition of a Business Day Convention and does not conform to the simple definition given above.
http://www.fpml.org/spec/2000/business-day-convention-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| FOLLOWING | ISDA | The non-business date will be adjusted to the first following day that is a business day |
| FRN | ISDA | Per 2000 ISDA Definitions, Section 4.11. FRN Convention; Eurodollar Convention, i.e. "FRN Convention" or "Eurodollar Convention" means, in respect of either Payment Dates or Period End Dates for a Swap Transaction and a party, that the Payment Dates or Period End Dates of that party will be each day during the term of the Swap Transaction that numerically corresponds to the preceding applicable Payment Date or Period End Date, as the case may be, of that party in the calendar month that is the specified number of months after the month in which the preceding applicable Payment Date or Period End Date occurred (or, in the case of the first applicable Payment Date or Period End Date, the day that numerically corresponds to the Effective Date in the calendar month that is the specified number of months after the month in which the Effective Date occurred), except that (a) if there is not any such numerically corresponding day in a calendar month in which a Payment Date or Period End Date, as the case may be, of that party should occur, then the Payment Date or Period End Date will be the last day that is a Business Day in that month, (b) if a Payment Date or Period End Date, as the case may be, of the party would otherwise fall on a day that is not a Business Day, then the Payment Date or Period End Date will be the first following day that is a Business Day unless that day falls in the next calendar month, in which case the Payment Date or Period End Date will be the first preceding day that is a Business Day, and (c) if the preceding applicable Payment Date or Period End Date, as the case may be, of that party occurred on the last day in a calendar month that was a Business Day, then all subsequent applicable Payment Dates or Period End Dates, as the case may be, of that party prior to the Termination Date will be the last day that is a Business Day in the month that is the specified number of months after the month in which the preceding applicable Payment Date or Period End Date occurred. |
| MODFOLLOWING | ISDA | The non-business date will be adjusted to the first following day that is a business day unless that day falls in the next calendar month, in which case that date will be the first preceding day that is a business day. |
| MODPRECEDING | FpML | The non-business date will be adjusted to the first preceding day that is a business day unless that day falls in the previous calendar month, in which case that date will be the first following day that us a business day. |
| NONE | n/a | The date will not be adjusted if it falls on a day that is not a business day. |
| PRECEDING | ISDA | The non-business day will be adjusted to the first preceding day that is a business day. |
The specification of how a calculation agent will be determined.
http://www.fpml.org/spec/2001/calculation-agent-party-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| ExercisingParty | ISDA | The party that gives notice of exercise. Per 2000 ISDA Definitions, Section 11.1. Parties, paragraph (d). |
| NonExercisingParty | ISDA | The party that is given notice of exercise. Per 2000 ISDA Definitions, Section 11.1. Parties, paragraph (e). |
A clearance system
http://www.fpml.org/spec/2002/clearance-system-scheme-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 compounding calculation method
http://www.fpml.org/spec/2000/compounding-method-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Flat | ISDA | Flat compounding. Compounding excludes the spread. Note that the first compounding period has it's interest calculated including any spread then subsequent periods compound this at a rate excluding the spread. |
| None | n/a | No compounding is to be applied. |
| Straight | FpML | Straight compounding. Compounding includes the spread. |
Specifies a set of standard contract definitions relevant to the transaction
http://www.fpml.org/spec/2002/contractual-definitions-scheme-1-0
| 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 |
| ISDA2000 | FpML | ISDA 2000 Definitions |
| ISDA2002Equity | FpML | ISDA 2002 Equity Derivatives Definitions |
The code representation of a country.
http://www.fpml.org/ext/iso3166
A valid country code as defined by the ISO standard 3166 - Codes for representation of countries.
The code representation of a currency.
http://www.fpml.org/ext/iso4217
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-scheme-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. |
The specification of the anchor date when calculating a derived date as a relative offset from this anchor date.
http://www.fpml.org/spec/2001/date-relative-to-3-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| CalculationPeriodEndDate | FpML | The derived date will be calculated as a relative offset from the end date of a calculation period. |
| CalculationPeriodStartDate | FpML | The derived date will be calculated as a relative offset from the start date of a calculation period. |
| CashSettlementPaymentDate | FpML | The derived date will be calculated as a relative offset from the Cash Settlement Payment Date. |
| ExerciseDate | FpML | The derived date will be calculated as a relative offset from the Exercise Date. |
| MandatoryEarlyTerminationDate | FpML | The derived date will be calculated as a relative offset from the Mandatory Early Termination Date. |
| PaymentDate | FpML | The derived date will be calculated as a relative offset from the payment date |
| ResetDate | FpML | The derived date will be calculated as a relative offset from the reset date |
| SettlementDate | FpML | The derived date will be calculated as a relative offset from the settlement date. |
| ValuationDate | FpML | The derived date will be calculated as a relative offset from the valuation date. |
The specification for 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. Day Count Fraction is an ISDA term. The equivalent AFB (Association Francaise de Banques) term is Calculation Basis
http://www.fpml.org/spec/2000/day-count-fraction-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| 1/1 | ISDA | Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (a), i.e. if "1/1" is specified, 1. |
| 30/360 | ISDA | Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (e), i.e. if "30/360", "360/360" or "Bond Basis" is specified, the number of days in the Calculation Period or Compounding Period in respect of which payment is being made divided by 360 (the number of days to be calculated on the basis of a year of 360 days with 12 30-day months (unless (i) the last day of the Calculation Period or Compounding Period is the 31st day of a month but the first day of the Calculation Period or Compounding Period is a day other than the 30th or 31st day of a month, in which case the month that includes that last day shall not be considered to be shortened to a 30-day month, or (ii) the last day of the Calculation Period or Compounding Period is the last day of the month of February, in which case the month of February shall not be considered to be lengthened to a 30-day month)). |
| 30E/360 | ISDA | Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (f), i.e. if "30E/360" or "Eurobond Basis" is specified, the number of days in the Calculation Period or Compounding Period in respect of which payment is being made divided by 360 (the number of days to be calculated on the basis of a year of 360 days with 12 30-day months, without regard to the date of the first day or last day of the Calculation Period or Compounding Period unless, in the case of the final Calculation Period or Compounding Period, the Termination Date is the last day of the month of February, in which case the month of February shall not be considered to be lengthened to a 30-day month). |
| ACT/360 | ISDA | Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (d), i.e. if "Actual/360", "Act/360" or "A/360" is specified, the actual number of days in the Calculation Period or Compounding Period in respect of which payment is being made divided by 360. |
| ACT/365.FIXED | ISDA | Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (c), i.e. if "Actual/365 (Fixed)", "Act/365 (Fixed)", "A/365 (Fixed)" or "A/365F" is specified, the actual number of days in the Calculation Period or Compounding Period in respect of which payment is being made divided by 365. |
| ACT/ACT.AFB | AFB | 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 | ISDA | Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (b), i.e. If "Actual/365", "Act/365", "A/365", "Actual/Actual" or "Act/Act" is specified, the actual number of days in the Calculation Period or Compounding Period in respect of which the payment is being made divided by 365 (or, if any portion of that Calculation Period or Compounding Period falls in a leap year, the sum of (i) the actual number of days in that portion of the Calculation Period or Compounding Period falling in a leap year divided by 366 and (ii) the actual number of days in that portion of the Calculation Period or Compounding Period falling in a non-leap year divided by 365). |
| ACT/ACT.ISMA | ISMA | 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. |
A day type classification used in counting the number of days between two dates.
http://www.fpml.org/spec/2000/day-type-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Business | n/a | When calculating the number of days between two dates the count includes only business days. |
| Calendar | n/a | When calculating the number of days between two dates the count includes all calendar days. |
The method of calculating discounted payment amounts
http://www.fpml.org/spec/2000/discounting-type-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| FRA | ISDA | Per ISDA 1991 Definitions, Section 9.3. Discounting, paragraph (b) |
| Standard | ISDA | Per ISDA 1991 Definitions, Section 9.3. Discounting, paragraph (a) |
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 how an FX OTC option will be exercised.
http://www.fpml.org/spec/2002/exercise-style-scheme-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| American | FpML | Option can be exercised on any date up to the expiry date. |
| European | FpML | Option can only be exercised on the expiry date. |
The specification of an ISDA Rate Option for purposes of determining a relevant raate 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 Definintions, 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
The specification of whether a barrier within an FX OTC option is a knockin or knockout, as well as whether it is a standard barrier or a reverse barrier.
http://www.fpml.org/spec/2002/fx-barrier-type-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Knockin | FpML | Option exists once the barrier is hit. The trigger rate is out-of-the money in relation to the strike rate. |
| Knockout | FpML | Option ceases to exist once the barrier is hit. The trigger rate is out-of the-money in relation to the strike rate. |
| Reverseknockin | FpML | Option exists once the barrier is hit. The trigger rate is in-the money in relation to the strike rate. |
| Reverseknockout | FpML | Option ceases to exist once the barrier is hit. The trigger rate is in-the money in relation to the strike rate. |
Identification of the law governing the transaction.
http://www.fpml.org/spec/2002/governing-law-scheme-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 |
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/2001/information-provider-1-0
List compiled from the Annex to the 2000 ISDA Definitions Section 7.2 - Certain Published and Displayed Sources
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| BankOfCanada | ISDA | The central bank of Canada. |
| 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/2002/instrument-id-RIC-1-0
Reuters Instrument 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
Defines the type of the master agreement governing the transaction.
http://www.fpml.org/spec/2002/master-agreement-type-scheme-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 how adjustments will be made to the contract should one or more of the extraordinary events occur.
http://www.fpml.org/spec/2002/method-of-adjustment-scheme-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| CalculationAgent | FpML | The Calculation Agent has the right to adjust the terms of the trade following a corporate action. |
| OptionsExchange | FpML | The trade will be adjusted in accordance with any adjustment made by the exchange on which options on the underlying are listed. |
Defines the consequences of nationalisation, insolvency and delisting events relating to the underlying.
http://www.fpml.org/spec/2002/nationalisation-or-insolvency-event-scheme-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| CancellationAndPayment | FpML | The trade is terminated. |
| NegotiatedCloseout | FpML | The parties may, but are not obliged, to terminate the transaction on mutually acceptable terms and if the terms are not agreed then the transaction continues. |
The method of calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).
http://www.fpml.org/spec/2001/negative-interest-rate-treatment-scheme-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| NegativeInterestRateMethod | ISDA | Negative Interest Rate Method. Per 2000 ISDA Definitions, Section 6.4 Negative Interest Rates, paragraphs (b) and (c). |
| ZeroInterestRateMethod | ISDA | Zero Interest Rate Method. Per 2000 ISDA Definitions, Section 6.4. Negative Interest Rates, paragraphs (d) and (e). |
Specifies whether the option is a call or a put.
http://www.fpml.org/spec/2002/option-type-scheme-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Call | FpML | The buyer of the option has the right to sell the underlying to the seller of the option. |
| Put | FpML | The buyer of the option has the right to buy the underlying from the seller of the option. |
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/party-contact-details-scheme-email-1-0
Electronic mail
http://www.fpml.org/spec/2002/party-contact-details-scheme-facsimile-1-0
Facsimile transmission
http://www.fpml.org/spec/2002/party-contact-details-scheme-mail-1-0
http://www.fpml.org/spec/2002/party-contact-details-scheme-voice-1-0
Voice telephone
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 numbder is Dun and Bradstreets distinctive 9-digit identification sequence and is an internationally recognized company identifier for EDI and global electronic commerce transactions. (http://www.dnb.ca/dunsno/index.html)
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
The specification of an interest rate stream payer or receiver party.
http://www.fpml.org/spec/2001/payer-receiver-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Payer | FpML | The party identified as the stream payer. |
| Receiver | FpML | The party identified as the stream receiver. |
The specification of how an FX OTC option with a trigger payout will be paid if the trigger condition is met. The contract will specify whether the payout will occur immediately or on the original value date of the option.
http://www.fpml.org/spec/2002/payout-scheme-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Deferred | FpML | If the trigger is hit, the option payout will not be paid now but will be paid on the value date of the original option. |
| Immediate | FpML | If the trigger is hit, the option payout will be paid immediately (i.e., spot from the payout date). |
The specification of whether payments occur relative to the calculation period start or end date, or the reset date.
http://www.fpml.org/spec/2000/pay-relative-to-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| CalculationPeriodEndDate | n/a | Payments will occur relative to the last day of each calculation period. |
| CalculationPeriodStartDate | n/a | Payments will occur relative to the first day of each calculation period. |
| ResetDate | n/a | Payments will occur relative to the reset date. |
The specification of a time period
http://www.fpml.org/spec/2000/period-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| D | n/a | Day |
| M | n/a | Month |
| T | n/a | Term |
| W | n/a | Week |
| Y | n/a | Year |
The specification of how the premium for an FX OTC option is quoted.
http://www.fpml.org/spec/2002/premium-quote-basis-scheme-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Callcurrencyperputcurrency | FpML | Premium is quoted in the call currency as a percentage of the put currency. |
| Explicit | FpML | Premium is quoted as an explicit amount. |
| Percentageofcallcurrencyamount | FpML | Premium is quoted as a percentage of the callCurrencyAmount. |
| Percentageofputcurrencyamount | FpML | Premium is quoted as a percentage of the putCurrencyAmount. |
| Putcurrencypercallcurrency | FpML | Premium is quoted in the put currency as a percentage of the call currency. |
The specification of the type of quotation rate to be obtained from each cash settlement reference bank.
http://www.fpml.org/spec/2001/quotation-rate-type-scheme-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Ask | FpML | An ask rate. |
| Bid | FpML | A bid rate. |
| ExercisingPartyPays | FpML | If optional early termination is applicable to a swap transaction, the rate, which may be a bid or ask rate, which would result, if seller is in-the-money, in the higher absolute value of the cash settlement amount, or, is seller is out-of-the-money, in the lower absolute value of the cash settlement amount. |
| Mid | FpML | A mid-market rate. |
How an exchange rate is quoted
http://www.fpml.org/spec/2001/quote-basis-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| CURRENCY1PERCURRENCY2 | FpML (proposal) | The amount of currency1 for one unit of currency2 |
| CURRENCY2PERCURRENCY1 | FpML (proposal) | The amount of currency2 for one unit of currency1 |
The specification of methods for converting rates from one basis to another.
http://www.fpml.org/spec/2000/rate-treatment-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| BondEquivalentYield | ISDA | Negative Interest Rate Method. Per 2000 ISDA Definitions, Section 6.4. Negative Interest Rates, paragraphs (b) and (c). |
| MoneyMarketYield | ISDA | Zero Interest Rate Method. Per 2000 ISDA Definitions, Section 6.4. Negative Interest Rates, paragraphs (d) and (e). |
The specification of whether resets occur relative to the first or last day of a calculation period.
http://www.fpml.org/spec/2000/reset-relative-to-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| CalculationPeriodEndDate | n/a | Resets will occur relative to the last day of each calculation period. |
| CalculationPeriodStartDate | n/a | Resets will occur relative to the first day of each calculation period. |
The convention for determining the sequence of calculation period end dates. It is used in conjunction with a specified frequency and the regular period start date of a calculation period, e.g. semi-annual IMM roll dates.
http://www.fpml.org/spec/2000/roll-convention-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| 1 | n/a | Rolls on the 1st day of the month. |
| 10 | n/a | Rolls on the 10th day of the month. |
| 11 | n/a | Rolls on the 11th day of the month. |
| 12 | n/a | Rolls on the 12th day of the month. |
| 13 | n/a | Rolls on the 13th day of the month. |
| 14 | n/a | Rolls on the 14th day of the month. |
| 15 | n/a | Rolls on the 15th day of the month. |
| 16 | n/a | Rolls on the 16th day of the month. |
| 17 | n/a | Rolls on the 17th day of the month. |
| 18 | n/a | Rolls on the 18th day of the month. |
| 19 | n/a | Rolls on the 19th day of the month. |
| 2 | n/a | Rolls on the 2nd day of the month. |
| 20 | n/a | Rolls on the 20th day of the month. |
| 21 | n/a | Rolls on the 21st day of the month. |
| 22 | n/a | Rolls on the 22nd day of the month. |
| 23 | n/a | Rolls on the 23rd day of the month. |
| 24 | n/a | Rolls on the 24th day of the month. |
| 25 | n/a | Rolls on the 25th day of the month. |
| 26 | n/a | Rolls on the 26th day of the month. |
| 27 | n/a | Rolls on the 27th day of the month. |
| 28 | n/a | Rolls on the 28th day of the month. |
| 29 | n/a | Rolls on the 29th day of the month. |
| 3 | n/a | Rolls on the 3rd day of the month. |
| 30 | n/a | Rolls on the 30th day of the month. |
| 4 | n/a | Rolls on the 4th day of the month. |
| 5 | n/a | Rolls on the 4th day of the month. |
| 6 | n/a | Rolls on the 6th day of the month. |
| 7 | n/a | Rolls on the 7th day of the month. |
| 8 | n/a | Rolls on the 8th day of the month. |
| 9 | n/a | Rolls on the 9th day of the month. |
| CADIMM | n/a | The last trading day/expiration day of the Canadian Derivatives Exchange (Bourse de Montr顬 Inc) Three-month Canadian Bankers' Acceptance Futures (Ticker Symbol BAX). The second London banking day prior to the third Wednesday of the contract month. If the determined day is a Bourse or bank holiday in Montreal or Toronto, the last trading day shall be the previous bank business day. Per Canadian Derivatives Exchange BAX contract specification. |
| EOM | n/a | Rolls on month end dates irrespective of the length of the month and the previous roll day. |
| FRI | n/a | Rolling weekly on a Friday. |
| FRN | ISDA | Roll days are determined according to the FRN Convention or Eurodollar Convention as described in ISDA 1991 definitions. |
| IMM | ISDA | IMM Settlement Dates. The third Wednesday of the (delivery) month. |
| MON | n/a | Rolling weekly on a Monday. |
| None | n/a | The roll convention is not required. For example, in the case of a daily calculation frequency. |
| SAT | n/a | Rolling weekly on a Saturday. |
| SFE | SFE | Sydney Futures Exchange 90-Day Bank Accepted Bill Futures Settlement Dates. The second Friday of the (delivery) month. |
| SUN | n/a | Rolling weekly on a Sunday. |
| TBILL | Bureau of the Public Debt | 13-week and 26-week U.S. Treasury Bill Auction Dates. Each Monday except for U.S. (New York) holidays when it will occur on a Tuesday. |
| THU | n/a | Rolling weekly on a Thursday. |
| TUE | n/a | Rolling weekly on a Tuesday. |
| WED | n/a | Rolling weekly on a Wednesday. |
The method of rounding a fractional number.
http://www.fpml.org/spec/2000/rounding-direction-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Down | n/a | A fractional number will be rounded down to the specified number of decimal places (the precision). |
| Nearest | n/a | A fractional number will be rounded either up or down to the specified number of decimal palces depending on it's value. |
| Up | n/a | A fractional number will be rounded up to the specified number of decimal places (the precision). |
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-scheme-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-scheme-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-scheme-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 |
Shows how the transaction is to be settled when it is exercised.
http://www.fpml.org/spec/2002/settlement-type-scheme-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Cash | FpML | The intrinsic value of the option will be delivered by way of a cash settlement amount determined, (i) by reference to the differential between the strike price and the settlement price; or (ii) in accordance with a bilateral agreement between the parties |
| Physical | FpML | The securities underlying the transaction will be delivered by (i) in the case of a call, the seller to the buyer, or (ii) in the case of a put, the buyer to the seller versus a settlement amount equivalent to the strike price per share |
Defines the consequences of extraordinary events relating to the underlying.
http://www.fpml.org/spec/2002/share-extraordinary-event-scheme-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| AlternativeObligation | FpML | The trade continues on the consideration paid out to holders of the original shares. |
| CancellationAndPayment | FpML | The trade is terminated. |
| OptionsExchange | FpML | The trade will be adjusted in accordance with any adjustment made by the exchange on which options on the underlying are listed. |
The specification of how an individual currency in an FX trade is quoted relative to the base currency.
http://www.fpml.org/spec/2002/side-rate-basis-scheme-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Basecurrencypercurrency1 | FpML | The amount of the baseCurrency for one unit of exchangedCurrency1. |
| Basecurrencypercurrency2 | FpML | The amount of the baseCurrency for one unit of exchangedCurrency2. |
| Currency1perbasecurrency | FpML | The amount of the exchangedCurrency1 for one unit of baseCurrency. |
| Currency2perbasecurrency | FpML | The amount of the exchangedCurrency2 for one unit of baseCurrency. |
The code specification of whether a trade is settling using standard settlement instructions as well as whether it is a candidate for settlement netting.
http://www.fpml.org/spec/2002/standard-settlement-style-scheme-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Net | FpML | This trade is a candidate for settlement netting. |
| Standard | FpML | This trade will settle using standard pre-determined funds settlement instructions. |
| StandardAndNet | FpML | This trade will settle using standard pre-determined funds settlement instructions and is a candidate for settlement netting. |
The specification of whether a percentage rate change, used to calculate a change in notional outstanding, is expressed as a percentage of the initial notional amount or the previously outstanding notional amount.
http://ww.fpml.org/spec/2000/step-relative-to-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Initial | n/a | Change in notional to be applied is calculated by multiplying the percentage rate by the initial notional amount. |
| Previous | n/a | Change in notional to be applied is calculated by multiplying the percentage rate by the previously outstanding notional amount. |
The specification of how an FX OTC option strike price is quoted.
http://www.fpml.org/spec/2002/strike-quote-basis-scheme-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Callcurrencyperputcurrency | FpML | The strike price is an amount of callCurrency per one unit of putCurrency. |
| Putcurrencypercallcurrency | FpML | The strike price is an amount of putCurrency per one unit of callCurrency. |
Defines points in the day when equity option exercise and valuation can occur.
http://www.fpml.org/spec/2002/time-type-scheme-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Close | FpML | The official closing time of the exchange on the valuation date. |
| Open | FpML | The official opening time of the exchange on the valuation date. |
| OSP | FpML | The time at which the official settlement price is determined. |
| SpecificTime | FpML | The time specified in the element equityExpirationTime or valuationTime (as appropriate) |
| XETRA | FpML | The time at which the official settlement price (following the auction by the exchange) is determined by the exchange. |
The specification of, for American-style digitals, whether the trigger level must be touched or not touched.
http://www.fpml.org/spec/2002/touch-condition-scheme-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Notouch | FpML | The spot rate has not touched the predetermined trigger rate at any time over the life of the option for the payout to occur. |
| Touch | FpML | The spot rate must have touched the predetermined trigger rate at any time over the life of the option for the payout to occur. |
The specification of whether a payout will occur on an option depending upon whether the spot rate is above or below the trigger rate.
http://www.fpml.org/spec/2002/trigger-condition-scheme-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| Above | FpML | The spot rate must be greater than or equal to the trigger rate. |
| Below | FpML | The spot rate must be less than or equal to the trigger rate. |
The specification of a weekly roll day.
http://wwww.fpml.org/spec/2000/weekly-roll-convention-1-0
| CODE | SOURCE | DESCRIPTION |
|---|---|---|
| FRI | n/a | Friday |
| MON | n/a | Monday |
| SAT | n/a | Saturday |
| SUN | n/a | Sunday |
| THU | n/a | Thursday |
| TUE | n/a | Tuesday |
| WED | n/a | Wednesday |