FpML Issues Tracker
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mgratacos
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Summary
The annotations of the enumerated values for SettlementTypeEnum are option specific but the type is being used in the future underlyer, productSummary, and the genericProduct.
Should we update the annotations to make them more generic or have a more specialized type that is not option specific?
"Cash": 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": 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.
"Election": Allow Election of either Cash or Physical settlement.
"CashOrPhysical": Allow use of either Cash or Physical settlement without prior Election.
Notes:
mgratacos
12/04/23 6:56 am
See Minutes for the FpML Cross Asset Class Product Working Group of Thursday 2023-11-09 – Section 3 C) https://www.fpml.org/mg_threads/08e5e58c/
mgratacos
06/07/24 12:00 pm
In terms of “Election” – in brief, as per the 2002 Equity Derivatives Definitions, when Settlement Method Election is made, the Electing Party can elect either cash or physical settlement on or prior to the Settlement Method Election Date. If no election is made, the settlement method for an index transaction or an equity swap transaction will be cash settlement and for a share forward or a share basket forward transaction it will be physical settlement.
This can apply to all equity derivatives products under the 2002 Equity Derivatives Definitions.
mgratacos
06/07/24 12:02 pm
CashOrPhysical was introduced for the case in which there is no Notice period.