VarianceLeg

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Field	Type	Description	Print form title	FFSM title	Properties	Conditions
@id	xsd:ID				1-1, ncf
legIdentifier	LegIdentifier	Version aware identification of this leg.	Leg identifier.		0-∞, ncf
payerPartyReference	PartyReference	A reference to the party responsible for making the payments defined by this structure.	Payer.	Party code.	0-1, mre, mfr
payerAccountReference	AccountReference	A reference to the account of the payer party (specified by payerPartyReference) responsible for making the payments defined by this structure.	Payer's account.	Party's client.	0-1, ncf	At the first stage this element is not used in the repository messages.
receiverPartyReference	PartyReference	A reference to the party that receives the payments corresponding to this structure.	Receiver.	Party code.	0-1, mre, mfr
receiverAccountReference	AccountReference	A reference to the account of the receiver party (specified by receiverPartyReference) that receives the payments corresponding to this structure.	Receiver's account.	Party's client.	0-1, ncf	At the first stage this element is not used in the repository messages.
effectiveDate	AdjustableOrRelativeDate	Specifies the effective date of this leg of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDate component), this element will typically point to the effective date of the other leg of the swap.	Effective date.	Effective date / Start date.	0-1, ncf
terminationDate	AdjustableOrRelativeDate	Specifies the termination date of this leg of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDate component), this element will typically point to the termination date of the other leg of the swap.	Termination date.	Termination date.	0-1, ncf
underlyer	Underlyer				1-1, mre
settlementType	SettlementTypeEnum	Defines cash settlement or physical settlement of an option.	Settlement type.		1-1, mre, mfr
settlementDate	AdjustableOrRelativeDate	Defines settlement date as adjustable or relative date.	Settlement date.		0-1, ncf
Choice begin
Branch1
settlementAmount	Money	Defines settlement amount to the trade.	Settlement amount.		1-1, mre
Branch2
settlementCurrency	Currency	Settlement Currency for use where the Settlement Amount cannot be known in advance.	Settlement currency.		1-1, mre, mfr
Choice end
fxFeature	FxFeature				0-1
valuation	EquityValuation				1-1, mre
amount	VarianceAmount				1-1, mre

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VarianceLeg

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.

underlyer(Underlyer)

A choice of the underlying asset type.

singleUnderlyer(SingleUnderlyer)

	Conditionally filled element. This is to be included in case of reporting information about single underlyer. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	Describes the swap's underlyer or other derivative's underlyer when it has only one asset component.

underlyingAsset(Asset)

Is substituted by one of the elements: basket bond commodity equity index

	Define the underlying asset, either a listed security or other instrument.

openUnits(decimal)

	The number of units (index or securities) that constitute the underlyer of the swap or other derivative. In the case of a basket swap (basket derivative), this element is used to reference both the number of basket units, and the number of each asset components of the basket when these are expressed in absolute terms.

basket(Basket)

	Conditionally filled element. This is to be included in case of reporting information about multiple underlying assets (underlyer basket). In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	Describes the swap's underlyer or other derivative's underlyer when it has multiple asset components.

settlementType(SettlementTypeEnum)

	Defines cash settlement or physical settlement of an option.
	Election;

fxFeature(FxFeature)

referenceCurrency(IdentifiedCurrency)

Selecting one of variants:

composite(Composite)

determinationMethod(DeterminationMethod)

relativeDate(RelativeDateOffset)

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;

dayType(DayTypeEnum)

	In the case of an offset specified as a number of days, this element defines whether consideration is given as to whether a day is a good business day or not. If a day type of business days is specified then non-business days are ignored when calculating the offset. The financial business centers to use for determination of business days are implied by the context in which this element is used. This element must only be included when the offset is specified as a number of days. If the offset is zero days then the dayType element should not be included.
	Business;Calendar;CommodityBusiness;CurrencyBusiness;ExchangeBusiness;ScheduledTradingDay;

businessDayConvention(BusinessDayConventionEnum)

	The convention for adjusting a date if it would otherwise fall on a day that is not a business day.
	FOLLOWING;FRN;MODFOLLOWING;PRECEDING;MODPRECEDING;NEAREST;NONE;NotApplicable;

A choice of the method of specifying financial business centers.

businessCenters(BusinessCenters)

	Financial business centers.

businessCenter(BusinessCenter)

	Financial business center.

adjustedDate(IdentifiedDate)

The date once the adjustment has been performed. (Note that this date may change if the business center holidays change).

fxSpotRateSource(FxSpotRateSource)

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.

quanto(Quanto)

fxRate(FxRate)

quotedCurrencyPair(QuotedCurrencyPair)

Defines the two currencies for an FX trade and the quotation relationship between the two currencies.

currency1(Currency)

	The first currency specified when a pair of currencies is to be evaluated.

currency2(Currency)

	The second currency specified when a pair of currencies is to be evaluated.

quoteBasis(QuoteBasisEnum)

	The method by which the exchange rate is quoted.
	Currency1PerCurrency2;Currency2PerCurrency1;

rate(decimal)

	The rate of exchange between the two currencies of the leg of a deal. Must be specified with a quote basis.

fxSpotRateSource(FxSpotRateSource)

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.

crossCurrency(Composite)

determinationMethod(DeterminationMethod)

relativeDate(RelativeDateOffset)

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;

dayType(DayTypeEnum)

	In the case of an offset specified as a number of days, this element defines whether consideration is given as to whether a day is a good business day or not. If a day type of business days is specified then non-business days are ignored when calculating the offset. The financial business centers to use for determination of business days are implied by the context in which this element is used. This element must only be included when the offset is specified as a number of days. If the offset is zero days then the dayType element should not be included.
	Business;Calendar;CommodityBusiness;CurrencyBusiness;ExchangeBusiness;ScheduledTradingDay;

businessDayConvention(BusinessDayConventionEnum)

	The convention for adjusting a date if it would otherwise fall on a day that is not a business day.
	FOLLOWING;FRN;MODFOLLOWING;PRECEDING;MODPRECEDING;NEAREST;NONE;NotApplicable;

A choice of the method of specifying financial business centers.

businessCenters(BusinessCenters)

	Financial business centers.

businessCenter(BusinessCenter)

	Financial business center.

adjustedDate(IdentifiedDate)

The date once the adjustment has been performed. (Note that this date may change if the business center holidays change).

fxSpotRateSource(FxSpotRateSource)

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.

valuation(EquityValuation)

valuationTimeType(TimeTypeEnum)

	The time of day at which the calculation agent values the underlying, for example the official closing time of the exchange.
	Close;Open;OSP;SpecificTime;XETRA;DerivativesClose;AsSpecifiedInMasterConfirmation;

valuationTime(BusinessCenterTime)

The specific time of day at which the calculation agent values the underlying.

hourMinuteTime(HourMinuteTime)

	A time specified in hh:mm:ss format where the second component must be '00', e.g. 11am would be represented as 11:00:00.
	[0-2][0-9]:[0-5][0-9]:00;

businessCenter(BusinessCenter)

	Defines business day calendar used in determining whether a day is a business day or not. A list of business day calendar locations may be ordered in the document alphabetically based on business day calendar location code.

futuresPriceValuation(boolean)

The official settlement price as announced by the related exchange is applicable, in accordance with the ISDA 2002 definitions.

optionsPriceValuation(boolean)

The official settlement price as announced by the related exchange is applicable, in accordance with the ISDA 2002 definitions.

numberOfValuationDates(nonNegativeInteger)

The number of valuation dates between valuation start date and valuation end date.

dividendValuationDates(AdjustableRelativeOrPeriodicDates)

Specifies the dividend valuation dates of the swap.

A choice of the dates 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.

amount(VarianceAmount)

calculationDates(AdjustableRelativeOrPeriodicDates)

A choice of the dates 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.

observationStartDate(AdjustableOrRelativeDate)

A choice of the date specification.

adjustableDate(AdjustableDate)

	Conditionally filled element. This is to be included in case of reporting information about explicit adjustable dates. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	A date that shall be subject to adjustment if it 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.

variance(Variance)

Selecting one of variants:

initialLevel(decimal)

closingLevel(boolean)

expiringLevel(boolean)

expectedN(positiveInteger)

varianceAmount(NonNegativeMoney)

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;

Selecting one of variants:

volatilityStrikePrice(NonNegativeDecimal)

	[0;

varianceStrikePrice(NonNegativeDecimal)

	[0;

varianceCap(boolean)

unadjustedVarianceCap(PositiveDecimal)

(0;

boundedVariance(BoundedVariance)

realisedVarianceMethod(RealisedVarianceMethodEnum)

Previous;Last;Both;

daysInRangeAdjustment(boolean)

upperBarrier(NonNegativeDecimal)

[0;

lowerBarrier(NonNegativeDecimal)

[0;

exchangeTradedContractNearest(ExchangeTradedContract)

instrumentId(InstrumentId)

	Identification of the underlying asset, using public and/or private identifiers.
	Underlying asset code.

description(string)

Long name of the underlying asset.

multiplier(positiveInteger)

contractReference(string)

expirationDate(AdjustableOrRelativeDate)

A choice of the date specification.

adjustableDate(AdjustableDate)

	Conditionally filled element. This is to be included in case of reporting information about explicit adjustable dates. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	A date that shall be subject to adjustment if it 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.

vegaNotionalAmount(decimal)