Swaption

A type to define an option on a swap.

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Field	Type	Description	Print form title	FFSM title	Properties	Conditions
primaryAssetClass	AssetClass	A classification of the most important risk class of the trade.	Primary asset class.		0-1, ncf	At the first stage this element is not used in the repository messages.
secondaryAssetClass	AssetClass	A classification of additional risk classes of the trade, if any.	Secondary asset class.		0-∞, ncf	At the first stage this element is not used in the repository messages.
productType	ProductType	A classification of the type of product.	Product type.	Derivative instrument type.	0-∞, mre, mfr	This element is mandatory for NSD messages, except for messages, related to master agreement registration.
productId	ProductId	A product reference identifier. The product ID is an identifier that describes the key economic characteristics of the trade type, with the exception of concepts such as size (notional, quantity, number of units) and price (fixed rate, strike, etc.) that are negotiated for each transaction. It can be used to hold identifiers such as the "UPI" (universal product identifier) required by certain regulatory reporting rules. It can also be used to hold identifiers of benchmark products or product temnplates used by certain trading systems or facilities.	Derivatives classification code.	Classification code of the derivative financial instrument.	0-∞, mre, mfr	Mandatory field for NSD messages, except for messages, related to the registration of master agreements, repo transactions and quarterly representation of trades exercised within 4 working days period. This is used to hold classification codes for derivatives transactions required by FFMS.
embeddedOptionType	EmbeddedOptionType	Describes the type of any embedded optionality in the transaction that might not otherwise be apparent. Can be used to represent embedded optionality such as early termination provisions, extendible provisions, or cancelable provisions, etc., where applicable. If omitted, no embedded optionality is applicable.	Embedded option type.		0-2, ncf	Optional field for NSD repository messages. It is not used in messages, related to the registration of master agreements and quarterly representation of trades exercised within 4 working days period. This is used only if trade terms include embedded option of a type specified in the coding scheme. At the first stage this element is not used in the repository messages.
@id	xsd:ID				1-1
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.	Buyer party.	Party code.	0-1, mre, mfr
buyerAccountReference	AccountReference	A reference to the account that buys this instrument.	Buyer's account.	Party's client.	0-1, ncf	At the first stage this element is not used in the repository messages.
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.	Seller party.	Party code.	0-1, mre, mfr
sellerAccountReference	AccountReference	A reference to the account that sells this instrument.	Seller's account.	Party's client.	0-1, ncf	At the first stage this element is not used in the repository messages.
premium	Payment	The option premium amount payable by buyer to seller on the specified payment date.	Premium.	Option premium.	0-∞, mre
optionType	SwaptionTypeEnum	The type of option transaction. From a usage standpoint, put/call is the default option type, while payer/receiver indicator is used for swaptions or options on index credit default swaps, consistently with the industry practice. A payer swaption (call swaption) is a call on a pay-fixed swap, this gives the owner of the swaption the right to enter into a swap where they pay the fixed leg and receive the floating leg. A receiver swaption (put swaption) is a put on a pay-fixed swap, this gives the owner of the swaption the right to enter into a swap in which they will receive the fixed leg, and pay the floating leg. For credit default swaptions (or credit default options) payer/receiver option is an option to buy/sell protection as a credit default swap on a specific reference credit. Straddle is used for the case of straddle strategy, that combine a call and a put with the same strike. This element is needed for transparency reporting because the counterparties are not available, and is made available in other views for convenience; it is not intended to be used for confirmation processing. If the swaption straddle indicator is provided, this must not be in conflict with that indicator.	Swaption type.		0-1, ncf
exercise	Field must be replaced by one of next elments: americanExercise, bermudaExercise, europeanExercise,				1-1, mre
exerciseProcedure	ExerciseProcedure	A set of parameters defining procedures associated with the exercise.	Exercise procedures.		0-1, ncf	This is not used in messages to the repository.
calculationAgent	CalculationAgent	The ISDA Calculation Agent responsible for performing duties associated with an optional early termination.	Calculation agent.		0-1, ncf
Choice begin
Branch1
cashSettlement	CashSettlement	If specified, this means that cash settlement is applicable to the transaction and defines the parameters associated with the cash settlement procedure. If not specified, then physical settlement is applicable.	Cash settlement.		1-1, mre	Conditionally filled element. This is to be included in case of reporting information about cash settlement exercise of the swaption transaction. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
Branch2
physicalSettlement	SwaptionPhysicalSettlement	If specified, this defines physical settlement terms (implying entering into the underlying swap) which apply to the transaction.	Physical settlement.		1-1, mre	Conditionally filled element. This is to be included in case of reporting information about cleared physical settlement exercise of the swap transaction. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
Choice end
swaptionStraddle	xsd:boolean	Whether the option is a swaption or a swaption straddle.	Swaption straddle.		1-1, mre, mfr
swaptionAdjustedDates	SwaptionAdjustedDates	The adjusted dates associated with swaption exercise. These dates have been adjusted for any applicable business day convention.	Swaption exercise adjusted dates.		0-1, ncf	Conditionally filled element. This is to be included in case of reporting information associated with swaption exercise. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
swap	Swap	Defines terms of the swap that is underlyer of the swaption.	Swap terms.		1-1, mre

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Swaption

productType(ProductType)

	This element is mandatory for NSD messages, except for messages, related to master agreement registration.
	A classification of the type of product.
	Derivative instrument type.

productId(ProductId)

	Mandatory field for NSD messages, except for messages, related to the registration of master agreements, repo transactions and quarterly representation of trades exercised within 4 working days period. This is used to hold classification codes for derivatives transactions required by FFMS.
	A product reference identifier. The product ID is an identifier that describes the key economic characteristics of the trade type, with the exception of concepts such as size (notional, quantity, number of units) and price (fixed rate, strike, etc.) that are negotiated for each transaction. It can be used to hold identifiers such as the "UPI" (universal product identifier) required by certain regulatory reporting rules. It can also be used to hold identifiers of benchmark products or product temnplates used by certain trading systems or facilities.
	Classification code of the derivative financial instrument.

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.

premium(Payment)

	The option premium amount payable by buyer to seller on the specified payment date.
	Option premium.

payerPartyReference(PartyReference)

	A reference to the party responsible for making the payments defined by this structure.
	Party code.

receiverPartyReference(PartyReference)

	A reference to the party that receives the payments corresponding to this structure.
	Party code.

paymentAmount(NonNegativeMoney)

	The currency amount of the payment. For the purposes of reporting to the repository, amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(NonNegativeDecimal)

	The non negative monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.
	Total payment.
	[0;

exercise(Exercise)

Is substituted by one of the elements: americanExercise bermudaExercise europeanExercise

	An placeholder for the actual option exercise definitions.

swaptionStraddle(boolean)

	Whether the option is a swaption or a swaption straddle.

swap(Swap)

	Defines terms of the swap that is underlyer of the swaption.

productType(ProductType)

	This element is mandatory for NSD messages, except for messages, related to master agreement registration.
	A classification of the type of product.
	Derivative instrument type.

productId(ProductId)

	Mandatory field for NSD messages, except for messages, related to the registration of master agreements, repo transactions and quarterly representation of trades exercised within 4 working days period. This is used to hold classification codes for derivatives transactions required by FFMS.
	A product reference identifier. The product ID is an identifier that describes the key economic characteristics of the trade type, with the exception of concepts such as size (notional, quantity, number of units) and price (fixed rate, strike, etc.) that are negotiated for each transaction. It can be used to hold identifiers such as the "UPI" (universal product identifier) required by certain regulatory reporting rules. It can also be used to hold identifiers of benchmark products or product temnplates used by certain trading systems or facilities.
	Classification code of the derivative financial instrument.

swapStream(InterestRateStream)

	Defines the swap interest rate streams parameters.

payerPartyReference(PartyReference)

	A reference to the party responsible for making the payments defined by this structure.
	Party code.

receiverPartyReference(PartyReference)

	A reference to the party that receives the payments corresponding to this structure.
	Party code.

calculationPeriodDates(CalculationPeriodDates)

	The calculation periods dates schedule.

A choice of the date specification.

effectiveDate(AdjustableDate)

	Conditionally filled element. This is to be included in case of reporting information about explicit adjustable effective date. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	The first day of the term of the trade. This day may be subject to adjustment in accordance with a business day convention.
	Effective date / Start date.

unadjustedDate(IdentifiedDate)

	A date subject to adjustment.

A choice of the date specification.

terminationDate(AdjustableDate)

	Conditionally filled element. This is to be included in case of reporting information about explicit adjustable termination date. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	The last day of the term of the trade. This day may be subject to adjustment in accordance with a business day convention.
	Termination date.

unadjustedDate(IdentifiedDate)

	A date subject to adjustment.

firstRegularPeriodStartDate(date)

The start date of the regular part of the calculation period schedule. It must only be specified if there is an initial stub calculation period. This day may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.

firstCompoundingPeriodEndDate(date)

The end date of the initial compounding period when compounding is applicable. It must only be specified when the compoundingMethod element is present and not equal to a value of None. This date may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.

lastRegularPeriodEndDate(date)

The end date of the regular part of the calculation period schedule. It must only be specified if there is a final stub calculation period. This day may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.

paymentDates(PaymentDates)

	The payment dates schedule.

paymentFrequency(Frequency)

	The frequency at which regular payment dates occur. If the payment frequency is equal to the frequency defined in the calculation period dates component then one calculation period contributes to each payment amount. If the payment frequency is less frequent than the frequency defined in the calculation period dates component then more than one calculation period will contribute to the payment amount. A payment frequency more frequent than the calculation period frequency or one that is not a multiple of the calculation period frequency is invalid. If the payment frequency is of value T (term), the period is defined by the swap\swapStream\calculationPerioDates\effectiveDate and the swap\swapStream\calculationPerioDates\terminationDate.
	Payment frequency.

periodMultiplier(positiveInteger)

	A time period multiplier, e.g. 1, 2 or 3 etc. If the period value is T (Term) then periodMultiplier must contain the value 1.

period(PeriodExtendedEnum)

	A time period, e.g. a day, week, month, year or term of the stream.
	T;

firstPaymentDate(date)

The first unadjusted payment date. This day may be subject to adjustment in accordance with any business day convention specified in paymentDatesAdjustments. This element must only be included if there is an initial stub. This date will normally correspond to an unadjusted calculation period start or end date. This is true even if early or delayed payment is specified to be applicable since the actual first payment date will be the specified number of days before or after the applicable adjusted calculation period start or end date with the resulting payment date then being adjusted in accordance with any business day convention specified in paymentDatesAdjustments.

lastRegularPaymentDate(date)

The last regular unadjusted payment date. This day may be subject to adjustment in accordance with any business day convention specified in paymentDatesAdjustments. This element must only be included if there is a final stub. All calculation periods after this date contribute to the final payment. The final payment is made relative to the final set of calculation periods or the final reset date as the case may be. This date will normally correspond to an unadjusted calculation period start or end date. This is true even if early or delayed payment is specified to be applicable since the actual last regular payment date will be the specified number of days before or after the applicable adjusted calculation period start or end date with the resulting payment date then being adjusted in accordance with any business day convention specified in paymentDatesAdjustments.

resetDates(ResetDates)

The reset dates schedule. The reset dates schedule only applies for a floating rate stream.

resetFrequency(ResetFrequency)

	The frequency at which reset dates occur. In the case of a weekly reset frequency, also specifies the day of the week that the reset occurs. If the reset frequency is greater than the calculation period frequency then this implies that more than one reset date is established for each calculation period and some form of rate averaging is applicable.

periodMultiplier(positiveInteger)

	A time period multiplier, e.g. 1, 2 or 3 etc. If the period value is T (Term) then periodMultiplier must contain the value 1.

period(PeriodExtendedEnum)

	A time period, e.g. a day, week, month, year or term of the stream.
	T;

calculationPeriodAmount(CalculationPeriodAmount)

	The calculation period amount parameters.

A choice of calculation period amount.

calculation(Calculation)

	Conditionally filled element. This is to be included in case of reporting calculation parameters of regular calculation period amounts. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	The parameters used in the calculation of fixed or floaring rate calculation period amounts.

A choice of notional amount.

notionalSchedule(Notional)

	The notional amount or notional amount schedule.
	Notional amount; Amortization / increase code.

notionalStepSchedule(NonNegativeAmountSchedule)

	The notional amount or notional amount schedule expressed as explicit outstanding notional amounts and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.
	Notional amount; Amortization / increase code.

initialValue(NonNegativeDecimal)

	The non-negative initial rate or amount, as the case may be. An initial rate of 5% would be represented as 0.05.
	[0;

step(NonNegativeStep)

	The schedule of step date and non-negative value pairs. On each step date the associated step value becomes effective. A list of steps may be ordered in the document by ascending step date. An FpML document containing an unordered list of steps is still regarded as a conformant document.

stepDate(date)

	The date on which the associated stepValue becomes effective. This day may be subject to adjustment in accordance with a business day convention.

stepValue(NonNegativeDecimal)

	The non-negative rate or amount which becomes effective on the associated stepDate. A rate of 5% would be represented as 0.05.
	[0;

currency(Currency)

	The currency in which an amount is denominated.

fxLinkedNotionalSchedule(FxLinkedNotionalSchedule)

	A notional amount schedule where each notional that applied to a calculation period is calculated with reference to a notional amount or notional amount schedule in a different currency by means of a spot currency exchange rate which is normally observed at the beginning of each period.

initialValue(decimal)

	The initial currency amount for the varying notional. This may be omitted for a forward starting swap if the FX-linked notional value is not known at deal inception.

varyingNotionalCurrency(Currency)

	The currency of the varying notional amount, i.e. the notional amount being determined periodically based on observation of a spot currency exchange rate.

fxSpotRateSource(FxSpotRateSource)

The information source and time at which the spot currency exchange rate will be observed.

primaryRateSource(InformationSource)

	The primary source for where the rate observation will occur. Will typically be either a page or a reference bank published rate.
	Code of price source.

rateSource(InformationProvider)

An information source for obtaining a market rate. For example Bloomberg, Reuters, Telerate etc.

A choice of interest rate.

rateCalculation(Rate)

Is substituted by one of the elements: floatingRateCalculation

	The base element for the floating rate calculation definitions.

Sequence

fixedRateSchedule(Schedule)

	The fixed rate or fixed rate schedule expressed as explicit fixed rates and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.
	Fixed rate; Amortization / increase code.

initialValue(decimal)

	The initial rate or amount, as the case may be. An initial rate of 5% would be represented as 0.05.

step(Step)

	The schedule of step date and value pairs. On each step date the associated step value becomes effective. A list of steps may be ordered in the document by ascending step date. An FpML document containing an unordered list of steps is still regarded as a conformant document.

stepDate(date)

	The date on which the associated stepValue becomes effective. This day may be subject to adjustment in accordance with a business day convention.

stepValue(decimal)

	The rate or amount which becomes effective on the associated stepDate. A rate of 5% would be represented as 0.05.

dayCountFraction(DayCountFraction)

	The day count fraction.

discounting(Discounting)

The parameters specifying any discounting conventions that may apply. This element must only be included if discounting applies.

discountingType(DiscountingTypeEnum)

	The discounting method that is applicable.
	Standard;FRA;FRAYield;

discountRate(decimal)

A discount rate, expressed as a decimal, to be used in the calculation of a discounted amount. A discount amount of 5% would be represented as 0.05.

discountRateDayCountFraction(DayCountFraction)

A discount day count fraction to be used in the calculation of a discounted amount.

compoundingMethod(CompoundingMethodEnum)

	If more that one calculation period contributes to a single payment amount this element specifies whether compounding is applicable, and if so, what compounding method is to be used. This element must only be included when more that one calculation period contributes to a single payment amount.
	Flat;None;Straight;SpreadExclusive;

knownAmountSchedule(AmountSchedule)

	Conditionally filled element. This is to be included in case of reporting known amount schedule. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	The known calculation period amount or a known amount schedule expressed as explicit known amounts and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments.

initialValue(decimal)

	The initial rate or amount, as the case may be. An initial rate of 5% would be represented as 0.05.

step(Step)

	The schedule of step date and value pairs. On each step date the associated step value becomes effective. A list of steps may be ordered in the document by ascending step date. An FpML document containing an unordered list of steps is still regarded as a conformant document.

stepDate(date)

	The date on which the associated stepValue becomes effective. This day may be subject to adjustment in accordance with a business day convention.

stepValue(decimal)

	The rate or amount which becomes effective on the associated stepDate. A rate of 5% would be represented as 0.05.

currency(Currency)

	The currency in which an amount is denominated.

principalExchanges(PrincipalExchanges)

The true/false flags indicating whether initial, intermediate or final exchanges of principal should occur.

initialExchange(boolean)

	A true/false flag to indicate whether there is an initial exchange of principal on the effective date.

finalExchange(boolean)

	A true/false flag to indicate whether there is a final exchange of principal on the termination date.

intermediateExchange(boolean)

	A true/false flag to indicate whether there are intermediate or interim exchanges of principal during the term of the swap.

settlementProvision(SettlementProvision)

A provision that allows the specification of settlement terms, occuring when the settlement currency is different to the notional currency of the trade.

settlementCurrency(Currency)

	The currency that stream settles in (to support swaps that settle in a currency different from the notional currency).