BondBasketOption

A type describing a Bond Basket Option and Bond Index Basket Option Transaction.

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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.
optionType	OptionTypeEnum	The type of option transaction. From a usage standpoint, put/call is the default option type, while payer/receiver indicator is used for options on index credit default swaps, consistently with the industry practice. Straddle is used for the case of straddle strategy, that combine a call and a put with the same strike.	Option type.		1-1, mre, mfr
premium	Premium	The option premium payable by the buyer to the seller.	Option premium.	Option premium.	0-1, mre
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.
feature	OptionFeature	An Option feature such as quanto, asian, barrier, knock.	Option features.		0-1	At the first stage this element is not used in the repository messages.
Choice begin
Branch1
notionalReference	NotionalAmountReference	Notional amount reference.	Notional amount reference.		1-1, ncf	At the first stage this element is not used in the repository messages.
Branch2
notionalAmount	Money	Defines the value and the currency of the notional amount.	Notional amount.		1-1, mre
Choice end
optionEntitlement	PositiveDecimal	The number of units of underlyer per option comprised in the option transaction.	Number of units.		0-1, mre, mfr
entitlementCurrency	Currency	The currency of denomination of the underlyer units.	Entitlement currency.		0-1, ncf
numberOfOptions	PositiveDecimal	The number of options comprised in the option transaction.	Number of options.		0-1, mfr
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
strike	BondOptionStrike	Strike of the the Bond Basket or Bond Index Option.	Strike price.	Strike price.	1-1, mre
Choice begin
Branch1
basket	Basket	Defines the underlying asset when it is a basket. Describes the swap's underlyer or other derivative's underlyer when it has multiple asset components.	Underlyer basket.		1-1
Branch2
index	Index	Identifies the underlying asset when it is a financial index.	Index.		1-1
Choice end

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BondBasketOption

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.

optionType(OptionTypeEnum)

	The type of option transaction. From a usage standpoint, put/call is the default option type, while payer/receiver indicator is used for options on index credit default swaps, consistently with the industry practice. Straddle is used for the case of straddle strategy, that combine a call and a put with the same strike.
	Payer;Receiver;Straddle;

premium(Premium)

	The option premium payable by the buyer to the seller.
	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.

feature(OptionFeature)

	At the first stage this element is not used in the repository messages.
	An Option feature such as quanto, asian, barrier, knock.

asian(Asian)

An option where and average price is taken on valuation.

averagingInOut(AveragingInOutEnum)

	In;Out;Both;

averagingPeriodIn(AveragingPeriod)

schedule(AveragingSchedule)

startDate(date)

endDate(date)

averagingPeriodFrequency(CalculationPeriodFrequency)

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;

averagingPeriodOut(AveragingPeriod)

schedule(AveragingSchedule)

startDate(date)

endDate(date)

averagingPeriodFrequency(CalculationPeriodFrequency)

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;

knock(Knock)

knockIn(TriggerEvent)

trigger(Trigger)

Trigger

level(decimal)

triggerType(TriggerTypeEnum)

	EqualOrLess;EqualOrGreater;Equal;Less;Greater;

featurePayment(FeaturePayment)

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.

The choice of specifying the amount

amount(NonNegativeDecimal)

	[0;

currency(Currency)

knockOut(TriggerEvent)

trigger(Trigger)

Trigger

level(decimal)

triggerType(TriggerTypeEnum)

	EqualOrLess;EqualOrGreater;Equal;Less;Greater;

featurePayment(FeaturePayment)

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.

The choice of specifying the amount

amount(NonNegativeDecimal)

	[0;

currency(Currency)

A choice of the notional amount specification.

notionalAmount(Money)

	Defines the value and the currency of the notional amount.

currency(Currency)

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

amount(decimal)

	The 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.

optionEntitlement(PositiveDecimal)

	The number of units of underlyer per option comprised in the option transaction.
	(0;

numberOfOptions(PositiveDecimal)

	The number of options comprised in the option transaction.
	(0;

settlementType(SettlementTypeEnum)

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

strike(BondOptionStrike)

	Strike of the the Bond Basket or Bond Index Option.
	Strike price.

A choice of the strike price specification.

price(OptionStrike)

	Strike price for an equity option.
	Strike price.

A choice of the strike price type.

strikePrice(decimal)

	The price or level at which the option has been struck.
	Strike price.

strikePercentage(decimal)

	The price or level expressed as a percentage of the forward starting spot price.
	Strike price.

currency(Currency)

	The currency in which an amount is denominated.

A choice of the underlying asset.

basket(Basket)

	Defines the underlying asset when it is a basket. Describes the swap's underlyer or other derivative's underlyer when it has multiple asset components.

index(Index)

	Identifies the underlying asset when it is a financial index.

instrumentId(InstrumentId)

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

description(string)

Long name of the underlying asset.