EarlyTerminationProvision

A type defining an early termination provision for a swap. This early termination is at fair value, i.e. on termination the fair value of the product must be settled between the parties.

Nested view
Tree view

Field	Type	Description	Print form title	FFSM title	Properties	Conditions
Choice begin
Branch1
Choice begin
Branch1
mandatoryEarlyTerminationDateTenor	Period	Period after trade date of the mandatory early termination date.	Mandatory early termination date tenor.		0-1, mre, mfr
mandatoryEarlyTermination	MandatoryEarlyTermination	A mandatory early termination provision to terminate the swap at fair value.	Mandatory early termination.		0-1, mfr
Choice end
Choice begin
Branch1
optionalEarlyTerminationParameters	ExercisePeriod	Definition of the first early termination date and the frequency of the termination dates subsequent to that. American exercise is defined by having a frequency of one day.	Optional early termination parameters.		0-1, mre, mfr
optionalEarlyTermination	OptionalEarlyTermination	An option for either or both parties to terminate the swap at fair value.	Optional early termination.		0-1, mfr
Choice end
Choice end
@id	xsd:ID				1-1, ncf

Collapse All | Expand All

EarlyTerminationProvision

Selecting one of variants:

Sequence

Defining mandatory early termination condition.

Sequence

mandatoryEarlyTerminationDateTenor(Period)

	Period after trade date of the mandatory early termination date.

periodMultiplier(integer)

	A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days.

period(PeriodEnum)

	A time period, e.g. a day, week, month or year of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).
	D;W;M;Y;

mandatoryEarlyTermination(MandatoryEarlyTermination)

	A mandatory early termination provision to terminate the swap at fair value.

mandatoryEarlyTerminationDate(AdjustableDate)

	The early termination date associated with a mandatory early termination of a swap.

unadjustedDate(IdentifiedDate)

	A date subject to adjustment.

calculationAgent(CalculationAgent)

	The ISDA Calculation Agent responsible for performing duties associated with an optional early termination.

A choice of the method of defining a calculation agent.

calculationAgentPartyReference(PartyReference)

	A pointer style reference to a party identifier defined elsewhere in the document. The party referenced is the ISDA Calculation Agent for the trade. If more than one party is referenced then the parties are assumed to be co-calculation agents, i.e. they have joint responsibility.

cashSettlement(CashSettlement)

	If specified, this means that cash settlement is applicable to the transaction and defines the parameters associated with the cash settlement prodcedure. If not specified, then physical settlement is applicable.

cashSettlementPaymentDate(CashSettlementPaymentDate)

The date on which the cash settlement amount will be paid, subject to adjustment in accordance with any applicable business day convention. This component would not be present for a mandatory early termination provision where the cash settlement payment date is the mandatory early termination date.

A choice of the date specification.

adjustableDates(AdjustableDates)

	A series of dates that shall be subject to adjustment if they would otherwise fall on a day that is not a business day in the specified business centers, together with the convention for adjusting the date.

unadjustedDate(IdentifiedDate)

	A date subject to adjustment.

mandatoryEarlyTerminationAdjustedDates(MandatoryEarlyTerminationAdjustedDates)

	The adjusted dates associated with a mandatory early termination provision. These dates have been adjusted for any applicable business day convention.

adjustedEarlyTerminationDate(date)

	The early termination date that is applicable if an early termination provision is exercised. This date should already be adjusted for any applicable business day convention.

adjustedCashSettlementValuationDate(date)

	The date by which the cash settlement amount must be agreed. This date should already be adjusted for any applicable business day convention.

adjustedCashSettlementPaymentDate(date)

	The date on which the cash settlement amount is paid. This date should already be adjusted for any applicable business dat convention.

Defining optional early termination condition.

Sequence

optionalEarlyTerminationParameters(ExercisePeriod)

	Definition of the first early termination date and the frequency of the termination dates subsequent to that. American exercise is defined by having a frequency of one day.

earliestExerciseDateTenor(Period)

	The time interval to the first (and possibly only) exercise date in the exercise period.

periodMultiplier(integer)

	A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days.

period(PeriodEnum)

	A time period, e.g. a day, week, month or year of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).
	D;W;M;Y;

exerciseFrequency(Period)

	The frequency of subsequent exercise dates in the exercise period following the earliest exercise date. An interval of 1 day should be used to indicate an American style exercise period.

periodMultiplier(integer)

	A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days.

period(PeriodEnum)

	A time period, e.g. a day, week, month or year of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).
	D;W;M;Y;

optionalEarlyTermination(OptionalEarlyTermination)

	An option for either or both parties to terminate the swap at fair value.

singlePartyOption(SinglePartyOption)

	If optional early termination is not available to both parties then this component specifies the buyer and seller of the option.

buyerPartyReference(PartyReference)

	A reference to the party that buys this instrument, ie. pays for this instrument and receives the rights defined by it. See 2000 ISDA definitions Article 11.1 (b). In the case of FRAs this the fixed rate payer.
	Party code.

sellerPartyReference(PartyReference)

	A reference to the party that sells ("writes") this instrument, i.e. that grants the rights defined by this instrument and in return receives a payment for it. See 2000 ISDA definitions Article 11.1 (a). In the case of FRAs this is the floating rate payer.
	Party code.

exercise(Exercise)

Is substituted by one of the elements: americanExercise bermudaExercise europeanExercise

	An placeholder for the actual option exercise definitions.

calculationAgent(CalculationAgent)

	The ISDA Calculation Agent responsible for performing duties associated with an optional early termination.

A choice of the method of defining a calculation agent.

calculationAgentPartyReference(PartyReference)

	A pointer style reference to a party identifier defined elsewhere in the document. The party referenced is the ISDA Calculation Agent for the trade. If more than one party is referenced then the parties are assumed to be co-calculation agents, i.e. they have joint responsibility.

cashSettlement(CashSettlement)

	If specified, this means that cash settlement is applicable to the transaction and defines the parameters associated with the cash settlement prodcedure. If not specified, then physical settlement is applicable.

cashSettlementPaymentDate(CashSettlementPaymentDate)

A choice of the date specification.

adjustableDates(AdjustableDates)

	A series of dates that shall be subject to adjustment if they would otherwise fall on a day that is not a business day in the specified business centers, together with the convention for adjusting the date.

unadjustedDate(IdentifiedDate)

	A date subject to adjustment.

optionalEarlyTerminationAdjustedDates(OptionalEarlyTerminationAdjustedDates)

	The adjusted dates associated with an early termination provision to terminate the trade at fair value where one or both parties have the right to decide on termination. These dates have been adjusted for any applicable business day convention.

earlyTerminationEvent(EarlyTerminationEvent)

	The adjusted dates associated with an individual earley termination date.

adjustedExerciseDate(date)

	The date on which option exercise takes place. This date should already be adjusted for any applicable business day convention.
	Exercise period or call, put or cancellation date.

adjustedEarlyTerminationDate(date)

	The early termination date that is applicable if an early termination provision is exercised. This date should already be adjusted for any applicable business day convention.

adjustedCashSettlementValuationDate(date)

	The date by which the cash settlement amount must be agreed. This date should already be adjusted for any applicable business day convention.

adjustedCashSettlementPaymentDate(date)

	The date on which the cash settlement amount is paid. This date should already be adjusted for any applicable business dat convention.

adjustedExerciseFeePaymentDate(date)

	The date on which the exercise fee amount is paid. This date should already be adjusted for any applicable business day convention.