fpml:cancelableProvision

A provision that allows the specification of an embedded option within a swap giving the buyer of the option the right to terminate the swap, in whole or in part, on the early termination date.

Element information

Content

• Sequence [1..1]
  from group fpml:BuyerSeller.model
  fpml:buyerPartyReference [1..1]    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.
  fpml:buyerAccountReference [0..1]    A reference to the account that buys this instrument.
  fpml:sellerPartyReference [1..1]    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.
  fpml:sellerAccountReference [0..1]    A reference to the account that sells this instrument.
  1. Choice [1..1]
     from subst. group fpml:exercise
     fpml:americanExercise    The parameters for defining the exercise period for an American style option together with any rules governing the notional amount of the underlying which can be exercised on any given exercise date and any associated exercise fees.
     fpml:bermudaExercise    The parameters for defining the exercise period for a Bermuda style option together with any rules governing the notional amount of the underlying which can be exercised on any given exercise date and any associated exercise fees.
     fpml:europeanExercise    The parameters for defining the exercise period for a European style option together with any rules governing the notional amount of the underlying which can be exercised on any given exercise date and any associated exercise fees.
  2. fpml:exerciseNotice [0..1]    Definition of the party to whom notice of exercise should be given.
  3. fpml:followUpConfirmation [1..1]    A flag to indicate whether follow-up confirmation of exercise (written or electronic) is required following telephonic notice by the buyer to the seller or seller's agent.
  4. fpml:cancelableProvisionAdjustedDates [0..1]    The adjusted dates associated with a cancelable provision. These dates have been adjusted for any applicable business day convention.
  5. fpml:finalCalculationPeriodDateAdjustment [0..*]    Business date convention adjustment to final payment period per leg (swapStream) upon exercise event. The adjustments can be made in-line with leg level BDC's or they can be specified seperately.
  6. fpml:initialFee [0..1]    An initial fee for the cancelable option.

Attributes

None

Used in

• Type fpml:Swap (Elements fpml:swap, fpml:swap)

Sample instance

<cancelableProvision>
   <buyerPartyReference href="party2"/>
   <sellerPartyReference href="party1"/>
   <europeanExercise>
      <expirationDate>
         <adjustableDate>
            <unadjustedDate>2006-08-15</unadjustedDate>
            <dateAdjustments>
               <businessDayConvention>FOLLOWING</businessDayConvention>
               <businessCenters>
                  <businessCenter>GBLO</businessCenter>
                  <businessCenter>EUTA</businessCenter>
               </businessCenters>
            </dateAdjustments>
         </adjustableDate>
      </expirationDate>
      <relevantUnderlyingDate>
         <adjustableDates>
            <unadjustedDate>2006-08-30</unadjustedDate>
            <dateAdjustments>
               <businessDayConvention>FOLLOWING</businessDayConvention>
               <businessCenters>
                  <businessCenter>EUTA</businessCenter>
               </businessCenters>
            </dateAdjustments>
         </adjustableDates>
      </relevantUnderlyingDate>
      <earliestExerciseTime>
         <hourMinuteTime>09:00:00</hourMinuteTime>
         <businessCenter>BEBR</businessCenter>
      </earliestExerciseTime>
      <expirationTime>
         <hourMinuteTime>11:00:00</hourMinuteTime>
         <businessCenter>BEBR</businessCenter>
      </expirationTime>
   </europeanExercise>
   <exerciseNotice>
      <partyReference href="party1"/>
      <businessCenter>GBLO</businessCenter>
   </exerciseNotice>
   <followUpConfirmation>true</followUpConfirmation>
</cancelableProvision>