| ID | Abbr | NumInGroup ID | NumInGroup name |
|---|---|---|---|
| 4290 | CashSettlTrm | 42041 | NoUnderlyingCashSettlTerms |
| Added | EP | Updated | EP | Deprecated | EP |
|---|---|---|---|---|---|
| FIX.5.0SP2 | 187 |
| ID | Name | Abbr | Presence | Description |
|---|---|---|---|---|
| 42042 | UnderlyingCashSettlCurrency | Ccy | optional | SYNOPSIS:
Specifies the currency the UnderlyingCashSettlAmount(42054) is denominated in. Uses ISO 4217 currency codes.
|
| 42043 | UnderlyingCashSettlValuationFirstBusinessDayOffset | BizDayOfst | optional | SYNOPSIS:
The number of business days after settlement conditions have been satisfied, when the calculation agent is to obtain a price quotation on the reference obligation for purposes of cash settlement.
ELABORATION: Associated with ISDA 2003 Term: Valuation Date. |
| 42044 | UnderlyingCashSettlValuationSubsequentBusinessDaysOffset | SbsqntBizDayOfst | optional | SYNOPSIS:
The number of business days between successive valuation dates when multiple valuation dates are applicable for cash settlement.
ELABORATION: Associated with ISDA 2003 Term: Valuation Date. |
| 42045 | UnderlyingCashSettlNumOfValuationDates | NumValDts | optional | SYNOPSIS:
Where multiple valuation dates are specified as being applicable for cash settlement, this element specifies the number of applicable valuation dates.
ELABORATION: Associated with ISDA 2003 Term: Valuation Date. |
| 42046 | UnderlyingCashSettlValuationTime | ValTm | optional | SYNOPSIS:
Time of valuation.
|
| 42047 | UnderlyingCashSettlBusinessCenter | BizCtr | optional | SYNOPSIS:
Identifies the business center calendar used at valuation time for cash settlement purposes e.g. "GBLO".
See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
|
| 42048 | UnderlyingCashSettlQuoteMethod | QteMeth | optional | SYNOPSIS:
The type of quote used to determine the cash settlement price.
|
| 42049 | UnderlyingCashSettlQuoteAmount | QteAmt | optional | SYNOPSIS:
When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the upper limit to the outstanding principal balance of the reference obligation for which the quote should be obtained. If not specifed, the ISDA definitions provide for a fallback amount equal to floating rate payer calculation amount.
ELABORATION: ISDA 2003 Term: Quotation Amount. |
| 42050 | UnderlyingCashSettlQuoteCurrency | QteCcy | optional | SYNOPSIS:
Specifies the currency the UnderlyingCashSettlQuoteAmount(42049) is denominated in. Uses ISO 4217 currency codes.
|
| 42051 | UnderlyingCashSettlMinimumQuoteAmount | MinQteAmt | optional | SYNOPSIS:
When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the minimum intended threshold amount of outstanding principal balance of the reference obligation for which the quote should be obtained. If not specified, the ISDA definitions provide for a fallback amount of the lower of either USD1,000,000 (or its equivalent in the relevent obligation currency) or the (minimum) quoted amount.
ELABORATION: ISDA 2003 Term: Minimum Quotation Amount. |
| 42052 | UnderlyingCashSettlMinimumQuoteCurrency | MinQteCcy | optional | SYNOPSIS:
Specifies the currency the UnderlyingCashSettlQuoteAmount(42049) is denominated in. Uses ISO 4217 currency codes.
|
| 4289 | UnderlyingCashSettlDealerGrp | Dlr | optional | SYNOPSIS:
UnderlyingCashSettlDealerGrp is a repeating subcomponent within the UnderlyingCashSettlTermGrp component. It is used to specify the dealers from whom price quotations for the reference obligation are obtained for the purpose of cash settlement valuation.
ELABORATION: |
| 42797 | UnderlyingCashSettlPriceSource | PxSrc | optional | SYNOPSIS:
The source from which the settlement price is to be obtained.
See http://www.fpml.org/coding-scheme/settlement-price-source for values.
|
| 42798 | UnderlyingCashSettlPriceDefault | PxDflt | optional | SYNOPSIS:
The default election for determining settlement price.
|
| 42053 | UnderlyingCashSettlBusinessDays | BizDays | optional | SYNOPSIS:
The number of business days used in the determination of the cash settlement payment date.
ELABORATION: If a cash settlement amount is specified, the cash settlement payment date will be this number of business days following the calculation of the final price. If a cash settlement amount is not specified, the cash settlement payment date will be this number of business days after all conditions to settlement are satisfied. ISDA 2003 Term: Cash Settlement Date. |
| 42054 | UnderlyingCashSettlAmount | Amt | optional | SYNOPSIS:
The amount paid between the trade parties, seller to the buyer, for cash settlement on the cash settlement date.
ELABORATION: If not specified this would typically be calculated as ((100 or the reference price) - reference obligation price) x floating rate payer calculation amount. Price values are all expressed as a percentage. ISDA 2003 Term: Cash Settlement Amount. |
| 4388 | UnderlyingCashSettlDate | SettlDt | optional | SYNOPSIS:
The UnderlyingCashSettlDate component is a subcomponent within the UnderlyingCashSettlTermGrp component used to report the cash settlement date defined in the settlement provision.
ELABORATION: |
| 42055 | UnderlyingCashSettlRecoveryFactor | RcvryFctr | optional | SYNOPSIS:
Used for fixed recovery, this specifies the recovery level as determined at contract inception, to be applied in the event of a default. The factor is used to calculate the amount paid by the seller to the buyer for cash settlement on the cash settlement date. The amount is calculated is (1 - UnderlyingCashSettlRecoveryFactor(42055)) x floating rate payer calculation amount. The currency is derived from the floating rate payer calculation amount.
|
| 42056 | UnderlyingCashSettlFixedTermIndicator | FixedInd | optional | SYNOPSIS:
Indicates whether fixed settlement is applicable or not applicable in a recovery lock.
|
| 42057 | UnderlyingCashSettlAccruedInterestIndicator | AcrdIntInd | optional | SYNOPSIS:
Indicates whether accrued interest is included or not in the value provided in UnderlyingCashSettlAmount(42054).
For cash settlement this specifies whether quotations should be obtained inclusive or not of accrued interest.
For physical settlement this specifies whether the buyer should deliver the obligation with an outstanding principal balance that includes or excludes accrued interest.
ELABORATION: ISDA 2003 Term: Include/Exclude Accrued Interest. |
| 42058 | UnderlyingCashSettlValuationMethod | ValMeth | optional | SYNOPSIS:
The ISDA defined methodology for determining the final price of the reference obligation for purposes of cash settlement.
ELABORATION: ISDA 2003 Term: Valuation Method |
| 42059 | UnderlyingCashSettlTermXID | XID | optional | SYNOPSIS:
Name referenced from UnderlyingSettlementTermXIDRef(41315).
|