Art der Durchschnittsberechnung.
The type of averaging used in an Asian option.
The average price is used to derive the strike price. Also known as "Asian strike" style option.
The average price is used to derive the expiration price. Also known as "Asian price" style option.
The average price is used to derive both the strike and the expiration price.
The method of calculation to be used when averaging rates. Per ISDA 2000 Definitions, Section 6.2. Certain Definitions Relating to Floating Amounts.
The arithmetic mean of the relevant rates for each reset date.
The arithmetic mean of the relevant rates in effect for each day in a calculation period calculated by multiplying each relevant rate by the number of days such relevant rate is in effect, determining the sum of such products and dividing such sum by the number of days in the calculation period.
The convention for adjusting any relevant date if it would otherwise fall on a day that is not a valid business day. Note that FRN is included herer as a type of business day convention although it does not strictly fall within ISDA's definition of a Business Day Convention and does not conform to the simple definition given above.
The non-business date will be adjusted to the first following day that is a business day
Per 2000 ISDA Definitions, Section 4.11. FRN Convention; Eurodollar Convention.
The non-business date will be adjusted to the first following day that is a business day unless that day falls in the next calendar month, in which case that date will be the first preceding day that is a business day.
The non-business day will be adjusted to the first preceding day that is a business day.
The non-business date will be adjusted to the first preceding day that is a business day unless that day falls in the previous calendar month, in which case that date will be the first following day that us a business day.
The date will not be adjusted if it falls on a day that is not a business day.
The date adjustments conventions are defined elsewhere, so it is not required to specify them here.
The compounding calculation method
Flat compounding. Compounding excludes the spread. Note that the first compounding period has it's interest calculated including any spread then subsequent periods compound this at a rate excluding the spread.
No compounding is to be applied.
Straight compounding. Compounding includes the spread.
The specification for how the number of days between two dates is calculated for purposes of calculation of a fixed or floating payment amount and the basis for how many days are assumed to be in a year. Day Count Fraction is an ISDA term. The equivalent AFB (Association Francaise de Banques) term is Calculation Basis
Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (a).
Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (b).
The Fixed/Floating Amount will be calculated in accordance with Rule 251 of the statutes, by-laws, rules and recommendations of the International Securities Market Association, as published in April 1999, as applied to straight and convertible bonds issued after December 31, 1998, as though the Fixed/Floating Amount were the interest coupon on such a bond.
The Fixed/Floating Amount will be calculated in accordance with the "BASE EXACT/EXACT" day count fraction, as defined in the "Definitions Communes ?lusieurs Additifs Techniques" published by the Association Fran?se des Banques in September 1994.
Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (c).
Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (d).
Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (e).
Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (f).
A day type classification used in counting the number of days between two dates.
When calculating the number of days between two dates the count includes only business days.
When calculating the number of days between two dates the count includes all calendar days.
When calculating the number of days between two dates the count includes only currency business days.
When calculating the number of days between two dates the count includes only stock exchange business days.
The method of calculating discounted payment amounts
Per ISDA 2000 Definitions, Section 8.4. Discounting, paragraph (a)
Per ISDA 2000 Definitions, Section 8.4. Discounting, paragraph (b)
The method of FRA discounting, if any, that will apply.
"FRA Discounting" per the ISDA Definitions will apply.
FRA discounting per the Australian Financial Markets Association (AFMA) OTC Financial Product Conventions will apply.
No discounting will apply.
Art der Zahlungsfrequenz laut Zeitplan.
The schedule frequency type
TBD
TBD
The specification of how a calculation agent will be determined.
The party that gives notice of exercise. Per 2000 ISDA Definitions, Section 11.1. Parties, paragraph (d).
The party that is given notice of exercise. Per 2000 ISDA Definitions, Section 11.1. Parties, paragraph (e).
The Calculation Agent is determined by reference to the relevant master agreement.
The specification of whether payments occur relative to the calculation period start or end date, or the reset date.
Payments will occur relative to the first day of each calculation period.
Payments will occur relative to the last day of each calculation period.
Payments will occur relative to the reset date.
The specification of a time period
Day.
Week.
Month.
Year.
Term.
The mode of expression of a price.
The price is expressed as an absolute amount.>
The price is expressed in percentage of the notional amount.
The specification of methods for converting rates from one basis to another.
Bond Equivalent Yield. Per Annex to the 2000 ISDA Definitions (June 2000
Version), Section 7.3. Certain General Definitions Relating to Floating Rate
Options, paragraph (g).
Money Market Yield. Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 7.3. Certain General Definitions Relating to Floating Rate Options, paragraph (h).
The specification of whether resets occur relative to the first or last day of a calculation period.
Resets will occur relative to the first day of each calculation period.
Resets will occur relative to the last day of each calculation period.
The convention for determining the sequence of calculation period end dates. It is used in conjunction with a specified frequency and the regular period start date of a calculation period, e.g. semi-annual IMM roll dates.
Rolls on month end dates irrespective of the length of the month and the previous roll day.
Roll days are determined according to the FRN Convention or Eurodollar Convention as described in ISDA 2000 definitions.
IMM Settlement Dates. The third Wednesday of the (delivery) month.
The last trading day/expiration day of the Canadian Derivatives Exchange (Bourse de Montreal Inc) Three-month Canadian Bankers' Acceptance Futures (Ticker Symbol BAX). The second London banking day prior to the third Wednesday of the contract month. If the determined day is a Bourse or bank holiday in Montreal or Toronto, the last trading day shall be the previous bank business day. Per Canadian Derivatives Exchange BAX contract specification.
Sydney Futures Exchange 90-Day Bank Accepted Bill Futures Settlement Dates. The second Friday of the (delivery) month.
The roll convention is not required. For example, in the case of a daily calculation frequency.
13-week and 26-week U.S. Treasury Bill Auction Dates. Each Monday except for U.S. (New York) holidays when it will occur on a Tuesday.
Rolls on the 1st day of the month.
Rolls on the 2nd day of the month.
Rolls on the 3rd day of the month.
Rolls on the 4th day of the month.
Rolls on the 4th day of the month.
Rolls on the 6th day of the month.
Rolls on the 7th day of the month.
Rolls on the 8th day of the month.
Rolls on the 9th day of the month.
Rolls on the 10th day of the month.
Rolls on the 11th day of the month.
Rolls on the 12th day of the month.
Rolls on the 13th day of the month.
Rolls on the 14th day of the month.
Rolls on the 15th day of the month.
Rolls on the 16th day of the month.
Rolls on the 17th day of the month.
Rolls on the 18th day of the month.
Rolls on the 19th day of the month.
Rolls on the 20th day of the month.
Rolls on the 21st day of the month.
Rolls on the 22nd day of the month.
Rolls on the 23rd day of the month.
Rolls on the 24th day of the month.
Rolls on the 25th day of the month.
Rolls on the 26th day of the month.
Rolls on the 27th day of the month.
Rolls on the 28th day of the month.
Rolls on the 29th day of the month.
Rolls on the 30th day of the month.
Rolling weekly on a Monday.
Rolling weekly on a Tuesday.
Rolling weekly on a Wednesday.
Rolling weekly on a Thursday.
Rolling weekly on a Friday.
Rolling weekly on a Saturday.
Rolling weekly on a Sunday.
The method of rounding a fractional number.
A fractional number will be rounded up to the specified number of decimal places (the precision). For example, 5.21 and 5.25 rounded up to 1 decimal place are 5.3 and 5.3 respectively.
A fractional number will be rounded down to the specified number of decimal places (the precision). For example, 5.29 and 5.25 rounded down to 1 decimal place are 5.2 and 5.2 respectively.
A fractional number will be rounded either up or down to the specified number of decimal places (the precision) depending on its value. For example, 5.24 would be rounded down to 5.2 and 5.25 would be rounded up to 5.3 if a precision of 1 decimal place were specified.
The specification of whether a percentage rate change, used to calculate a change in notional outstanding, is expressed as a percentage of the initial notional amount or the previously outstanding notional amount.
Change in notional to be applied is calculated by multiplying the percentage rate by the initial notional amount.
Change in notional to be applied is calculated by multiplying the percentage rate by the previously outstanding notional amount.
The specification of a weekly roll day.
Monday
Tuesday
Wednesday
Thursday
Friday
Saturday
Sunday
The method of calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).
Negative Interest Rate Method. Per 2000 ISDA Definitions, Section 6.4 Negative Interest Rates, paragraphs (b) and (c).
Zero Interest Rate Method. Per 2000 ISDA Definitions, Section 6.4. Negative Interest Rates, paragraphs (d) and (e).
How an exchange rate is quoted.
The amount of currency1 for one unit of currency2
The amount of currency2 for one unit of currency1
The specification of an interest rate stream payer or receiver party.
The party identified as the stream payer.
The party identified as the stream receiver.
The specification of the type of quotation rate to be obtained from each cash settlement reference bank.
A bid rate.
An ask rate.
A mid-market rate.
If optional early termination is applicable to a swap transaction, the rate, which may be a bid or ask rate, which would result, if seller is in-the-money, in the higher absolute value of the cash settlement amount, or, is seller is out-of-the-money, in the lower absolute value of the cash settlement amount.
The specification of how an OTC option will be exercised.
Option can be exercised on any date up to the expiry date.
Option can only be exercised on the expiry date.
The specification of how an FX OTC option with a trigger payout will be paid if the trigger condition is met. The contract will specify whether the payout will occur immediately or on the original value date of the option.
If the trigger is hit, the option payout will not be paid now but will be paid on the value date of the original option.
If the trigger is hit, the option payout will be paid immediately (i.e., spot from the payout date).
The specification of how the premium for an FX OTC option is quoted.
Premium is quoted as a percentage of the callCurrencyAmount.
Premium is quoted as a percentage of the putCurrencyAmount.
Premium is quoted in the call currency as a percentage of the put currency.
Premium is quoted in the put currency as a percentage of the call currency.
Premium is quoted as an explicit amount.
The specification of how an individual currency in an FX trade is quoted relative to the base currency.
The amount of the exchangedCurrency1 for one unit of baseCurrency.
The amount of the baseCurrency for one unit of exchangedCurrency1.
The amount of the exchangedCurrency2 for one unit of baseCurrency.
The amount of the baseCurrency for one unit of exchangedCurrency2.
The specification of how an FX OTC option strike price is quoted.
The strike price is an amount of putCurrency per one unit of callCurrency.
The strike price is an amount of callCurrency per one unit of putCurrency.
The specification of, for American-style digitals, whether the trigger level must be touched or not touched.
The spot rate must have touched the predetermined trigger rate at any time over the life of the option for the payout to occur.
The spot rate has not touched the predetermined trigger rate at any time over the life of the option for the payout to occur.
The specification of whether a payout will occur on an option depending upon whether the spot rate is above or below the trigger rate.
The spot rate must be greater than or equal to the trigger rate.
The spot rate must be less than or equal to the trigger rate.
The code specification of whether a trade is settling using standard settlement instructions as well as whether it is a candidate for settlement netting.
This trade will settle using standard pre-determined funds settlement instructions.
This trade is a candidate for settlement netting.
This trade will settle using standard pre-determined funds settlement instructions and is a candidate for settlement netting.
The specification of whether a barrier within an FX OTC option is a knockin or knockout, as well as whether it is a standard barrier or a reverse barrier.
Option exists once the barrier is hit. The trigger rate is out-of-the money in relation to the strike rate.
Option ceases to exist once the barrier is hit. The trigger rate is out-of the-money in relation to the strike rate.
Option exists once the barrier is hit. The trigger rate is in-the money in relation to the strike rate.
Option ceases to exist once the barrier is hit. The trigger rate is in-the money in relation to the strike rate.
Defines how adjustments will be made to the contract should one or more of the extraordinary events occur.
The Calculation Agent has the right to adjust the terms of the trade following a corporate action.
The trade will be adjusted in accordance with any adjustment made by the exchange on which options on the underlying are listed.
Defines the consequences of nationalisation, insolvency and delisting events relating to the underlying.
The parties may, but are not obliged, to terminate the transaction on mutually acceptable terms and if the terms are not agreed then the transaction continues.
The trade is terminated.
Specifies whether the option is a call or a put.
A call option gives the holder the right to buy the underlying asset by a certain date for a certain price.
A put option gives the holder the right to sell the underlying asset by a certain date for a certain price.
Shows how the transaction is to be settled when it is exercised.
The intrinsic value of the option will be delivered by way of a cash settlement amount determined, (i) by reference to the differential between the strike price and the settlement price; or (ii) in accordance with a bilateral agreement between the parties
The securities underlying the transaction will be delivered by (i) in the case of a call, the seller to the buyer, or (ii) in the case of a put, the buyer to the seller versus a settlement amount equivalent to the strike price per share
Defines the consequences of extraordinary events relating to the underlying.
The trade continues on the consideration paid out to holders of the original shares.
The trade is terminated.
The trade will be adjusted in accordance with any adjustment made by the exchange on which options on the underlying are listed.
Defines points in the day when equity option exercise and valuation can occur.
The official closing time of the exchange on the valuation date.
The official opening time of the exchange on the valuation date.
The time at which the official settlement price is determined.
The time specified in the element equityExpirationTime or valuationTime (as appropriate)
The time at which the official settlement price (following the auction by the exchange) is determined by the exchange.
The unit in which a commission is denominated.
The commission is expressed in basis points, in reference to the price referenced in the document.
The commission is expressed as a percentage of the gross price referenced in the document.
The commission is expressed in cents per share.
The commission is expressed as a absolute amount.
The date on which the receiver of the equity return is entitled to the dividend.
Dividend entitlement is on the dividend ex-date.
Dividend entitlement is on the dividend record date.
The reference to a dividend date.
Date on which a holder of the security is entitled to the dividend.
Date on which the dividend will be paid by the issuer.
Date on which the dividend will be recorded in the books of the paying agent.
Termination date of the swap.
Equity payment date of the swap.
The next payment date of the swap.
The conditions that govern the adjustment to the number of units of the equity swap.
The adjustments to the number of units are governed by an execution clause.
The adjustments to the number of units are governed by a portfolio rebalancing clause.
The adjustments to the number of units are not governed by any specific clause.
The type of return associated with the equity swap.
Dividend return swap.
Price return swap.
Total return swap.
Used in both the obligations and deliverable obligations of the credit default swap to represent a class or type of securities which apply.
ISDA term "Payment".
ISDA term "Borrowed Money".
ISDA term "Reference Obligations Only".
ISDA term "Bond".
ISDA term "Loan".
ISDA term "Bond or Loan".
The ISDA defined methodology for determining the final price of the reference obligation for purposes of cash settlement.
The ISDA defined value indicating the nature of a difference.
The ISDA defined value indicating the severity of a difference.