fpml: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.

Element information

Content

• Sequence [1..1]
  1. fpml:cashSettlementValuationTime [0..1]    The time of the cash settlement valuation date when the cash settlement amount will be determined according to the cash settlement method if the parties have not otherwise been able to agree the cash settlement amount.
  2. fpml:cashSettlementValuationDate [0..1]    The date on which the cash settlement amount will be determined according to the cash settlement method if the parties have not otherwise been able to agree the cash settlement amount.
  3. fpml:cashSettlementPaymentDate [0..1]    The date on which the cash settlement amount will be paid, subject to adjustment in accordance with any applicable business day convention. This component would not be present for a mandatory early termination provision where the cash settlement payment date is the mandatory early termination date.
  4. Choice [0..1]
     • fpml:cashPriceMethod    An ISDA defined cash settlement method used for the determination of the applicable cash settlement amount. The method is defined in the 2006 ISDA Definitions, Section 18.3. Cash Settlement Methods, paragraph (a).
     • fpml:cashPriceAlternateMethod    An ISDA defined cash settlement method used for the determination of the applicable cash settlement amount. The method is defined in the 2006 ISDA Definitions, Section 18.3. Cash Settlement Methods, paragraph (b).
     • fpml:parYieldCurveAdjustedMethod    An ISDA defined cash settlement method used for the determination of the applicable cash settlement amount. The method is defined in the 2006 ISDA Definitions, Section 18.3. Cash Settlement Methods, paragraph (c).
     • fpml:zeroCouponYieldAdjustedMethod    An ISDA defined cash settlement method used for the determination of the applicable cash settlement amount. The method is defined in the 2006 ISDA Definitions, Section 18.3. Cash Settlement Methods, paragraph (d).
     • fpml:parYieldCurveUnadjustedMethod    An ISDA defined cash settlement method used for the determination of the applicable cash settlement amount. The method is defined in the 2006 ISDA Definitions, Section 18.3. Cash Settlement Methods, paragraph (e).
     • fpml:crossCurrencyMethod    An ISDA defined cash settlement method used for the determination of the applicable cash settlement amount. The method is defined in the 2006 ISDA Definitions, Section 18.3. Cash Settlement Methods, paragraph (f) (published in Supplement number 23).
     • fpml:collateralizedCashPriceMethod    An ISDA defined cash settlement method used for the determination of the applicable cash settlement amount. The method is defined in the 2006 ISDA Definitions, Section 18.3. Cash Settlement Methods, paragraph (g) (published in Supplement number 28).

Attributes

Used in

• Type fpml:Swaption (Element fpml:swaption)

Sample instance

<cashSettlement>true</cashSettlement>