For Fixed Income. Type of Stipulation. Other types may be used by mutual agreement of the counterparties.
(Note tag # was reserved in FIX 4.1, added in FIX 4.3)
- AMT = Alternative Minimum Tax (Y/N)
- AUTOREINV = Auto Reinvestment at <rate> or better
- BANKQUAL = Bank qualified (Y/N)
- BGNCON = Bargain conditions (see StipulationValue <234> for values)
- COUPON = Coupon range
- CURRENCY = ISO Currency Code
- CUSTOMDATE = Custom start/end date
- GEOG = Geographics and % range (ex. 234=CA 0-80 [minimum of 80% California assets])
- HAIRCUT = Valuation Discount
- INSURED = Insured (Y/N)
- ISSUE = Year Or Year/Month of Issue (ex. 234=2002/09)
- ISSUER = Issuer's ticker
- ISSUESIZE = issue size range
- LOOKBACK = Lookback Days
- LOT = Explicit lot identifier
- LOTVAR = Lot Variance (value in percent maximum over- or under-allocation allowed)
- MAT = Maturity Year And Month
- MATURITY = Maturity range
- MAXSUBS = Maximum substitutions (Repo)
- MINDNOM = Minimum denomination
- MININCR = Minimum increment
- MINQTY = Minimum quantity
- PAYFREQ = Payment frequency, calendar
- PIECES = Number Of Pieces
- PMAX = Pools Maximum
- PPL = Pools per Lot
- PPM = Pools per Million
- PPT = Pools per Trade
- PRICE = Price Range
- PRICEFREQ = Pricing frequency
- PROD = Production Year
- PROTECT = Call protection
- PURPOSE = Purpose
- PXSOURCE = Benchmark price source
- RATING = Rating source and range
- REDEMPTION = Type Of Redemption - values are: NonCallable, Prefunded, EscrowedToMaturity, Putable, Convertible
- RESTRICTED = Restricted (Y/N)
- SECTOR = Market Sector
- SECTYPE = Security Type included or excluded
- STRUCT = Structure
- SUBSFREQ = Substitutions frequency (Repo)
- SUBSLEFT = Substitutions left (Repo)
- TEXT = Freeform Text
- TRDVAR = Trade Variance (value in percent maximum over- or under-allocation allowed)
- WAC = Weighted Average Coupon - value in percent (exact or range) plus "Gross" or "Net" of servicing spread (the default) (ex. 234=6.5-Net [minimum of 6.5% net of servicing fee])
- WAL = Weighted Average Life Coupon - value in percent (exact or range)
- WALA = Weighted Average Loan Age - value in months (exact or range)
- WAM = Weighted Average Maturity - value in months (exact or range)
- WHOLE = Whole Pool (Y/N)
- YIELD = Yield Range
ORIGAMT = Original amount
The original issued amount of a mortgage backed security or other loan/asset backed security.
- POOLEFFDT = Pool effective date
POOLINITFCTR = Pool initial factor
For morttgage backed securities, the part of the mortgage that is outstanding on trade inception, i.e. has not been repaid yet as principal. It is expressed as a multiplier factor to the mortgage: where 1 means that the whole mortgage amount is outstanding, 0.8 means that80% remains to be repaid and 20% has been repaid.
TRANCHE = Tranche identifier
Identifies the tranche of a mortgage backed security, loan, collateralized mortgage obligation or similar securities that can be split into different risk or maturity (for example) classes.
SUBSTITUTION = Substitution (Y/N)
Indicates whether substitution is applicable (Y) or (N).
MULTEXCHFLLBCK = Multiple exchange fallback (Y/N)
For an index option transaction, indicates whether a relevant "Multiple Exchange Index Annex" is applicable (Y) to the transaction or not (N). This annex defines additional provisions which are applicable where an index is comprised of component securities that are traded on multiple exchanges.
COMPSECFLLBCK = Component security fallback (Y/N)
For an index option transaction, indicates whether a relevant "Component Security Index Annex" is applicable (Y) to the transaction or not (N).
LOCLJRSDCTN = Local jurisdiction (Y/N)
"Local Jurisdiction" is used in the AEJ Master Confirmation to determine applicability (Y), or not (N), of local taxes (including taxes, duties, and similar charges) imposed by the taxing authority of the local jurisdiction.
RELVJRSDCTN = Relevant jurisdiction (Y/N)
"Relevant Jurisdiction" is used in the AEJ Master Confirmation to determine applicability (Y), or not (N), of local taxes (including taxes, duties and similar charges) that would be imposed by the taxing authority of the "country of underlier" on a "hypothetical broker dealer" assuming that the applicable hedge positions are held by its office in the Relevant Jurisdiction.
- CDS General Terms
INCURRCVY = Incurred recovery (Y/N)
Specifies whether incurred recovery is applicable (Y) or not (N). Outstanding Swap Notional Amount is defined at any time on any day, as the greater of: (a) Zero; If Incurred Recovery Amount Applicable: (b) The Original Swap Notional Amount minus the sum of all Incurred Loss Amounts and all Incurred Recovery Amounts (if any) determined under this Confirmation at or prior to such time.Incurred Recovery Amount not populated: (b) The Original Swap Notional Amount minus the sum of all Incurred Loss Amounts determined under this Confirmation at or prior to such time. 2009 CDX Tranche Terms.
ADDTRM = Additional term
Used for representing information contained in the Additional Terms field of the 2003 Master Credit Derivatives confirm.
MODEQTYDLVY = Modified equity delivery
Indicates whether delivery of selected obligationshaving an amountgreater than the reference entity notional amount is allowed (Y) or (N). 2005 iTraxx tranched Transactions Standard Terms Supplement.
NOREFOBLIG = No reference obligation (Y/N)
When specified as "Y" this indicates that there is no Reference Obligation associated with this Credit Default Swap and that there will never be one. 2003 ISDA Credit Derivatives Definitions.
UNKREFOBLIG = Unknown reference obligation (Y/N)
When specified as "Y" this indicates that the Reference obligation associated with the Credit Default Swap is currently not known. This is not valid for Legal Confirmation purposes, but is valid for earlier stages in the trade life cycle (e.g. Broker Confirmation). 2003 FpML-CD-4.0.
ALLGUARANTEES = All guarantees (Y/N)
Indicates whether an obligation of the Reference Entity, guaranteed by the Reference Entity on behalf of a non-Affiliate, is to be considered an Obligation for the purpose of the transaction (Y) or (N). ISDA 2003 Term: All Guarantees.
REFPX = Reference price (Y/N)
Specifies the reference price expressed as a percentage between 0 and 1 (e.g. 0.05 is 5%). The reference price is used to determine (a) for physically settled trades, the Physical Settlement Amount, which equals the Floating Rate Payer Calculation Amount times the Reference Price and (b) for cash settled trades, the Cash Settlement Amount, which equals the greater of (i) the difference between the Reference Price and the Final Price and (ii) zero. ISDA 2003 Term: Reference Price.
REFPOLICY = Reference policy (Y/N)
Indicates whether the reference obligation is guaranteed (Y), or not (N), under a reference policy. If the Reference Obligation is guaranteed under a Reference Policy, and such Reference Policy by its terms excludes any component of the Expected Principal Amount for purposes of determining the liability of the relevant Insurer, or the Insurer is otherwise not required to pay any such amounts under the terms of the Reference Policy, the relevant component or amount shall also be excluded for purposes of determining the Expected Principal Amount with respect to any determination of Principal Shortfall hereunder. 2006 ISDA CDS on MBS Terms.
SECRDLIST = Secured list (Y/N)
Specifies whether a list of Syndicated Secured Obligations (also known as the Relevant Secured List) exists (Y), or not (N), for the Reference Entity. With respect to any day, the list of Syndicated Secured Obligations of the Designated Priority of the Reference Entity published by Markit Group Limited or any successor thereto appointed by the Specified Dealers (the "Secured List Publisher") on or most recently before such day, which list is currently available at [http://www.markit.com]. ISDA 2003 Term: Relevant Secured List.
- AVFICO = Average FICO Score
- AVSIZE = Average Loan Size
- MAXBAL = Maximum Loan Balance
- POOL = Pool Identifier
- ROLLTYPE = Type of Roll trade
- REFTRADE = reference to rolling or closing trade
- REFPRIN = principal of rolling or closing trade
- REFINT = interest of rolling or closing trade
- AVAILQTY = Available offer quantity to be shown to the street
- BROKERCREDIT = Broker's sales credit
- INTERNALPX = Offer price to be shown to internal brokers
- INTERNALQTY = Offer quantity to be shown to internal brokers
- LEAVEQTY = The minimum residual offer quantity
- MAXORDQTY = Maximum order size
- ORDRINCR = Order quantity increment
- PRIMARY = Primary or Secondary market indicator
- SALESCREDITOVR = Broker sales credit override
- TRADERCREDIT = Trader's credit
- DISCOUNT = Discount Rate (when price is denominated in percent of par)
- YTM = Yield to Maturity (when YieldType <235> and Yield <236> show a different yield)
- PAYOFF = Interest payoff of rolling or amending trade
- Prepayment Speeds
- ABS = Absolute Prepayment Speed
- CPP = Constant Prepayment Penalty
- CPR = Constant Prepayment Rate
- CPY = Constant Prepayment Yield
- HEP = final CPR of Home Equity Prepayment Curve
- MHP = Percent of Manufactured Housing Prepayment Curve
- MPR = Monthly Prepayment Rate
- PPC = Percent of Prospectus Prepayment Curve
- PSA = Percent of BMA Prepayment Curve
- SMM = Single Monthly Mortality