CashSettlementTerms

Type CDM 7.2.0

Defines the terms required to compute and settle a cash settlement amount according to a fixing value, including the fixing source, fixing method and fixing date. In FpML, PhysicalSettlementTerms and CashSettlementTerms extend SettlementTerms. In the CDM, this extension paradigm has not been used because SettlementTerms class has been used for purposes related to securities transactions, while it is not used as such in the FpML standard (i.e. only as an abstract construct.

Extends —

Extended by —

Attributes 8

Namespace cdm.product.common.settlement

Attributes

All 8 declared on CashSettlementTerms. Cardinality in amber is required.

Name	Type	Card.	Description
cashSettlementMethod	CashSettlementMethodEnum	0..1	Specifies the type of cash settlement method: cash price, yield curve etc.
valuationMethod	ValuationMethod	0..1	Specifies the parameters required to obtain a valuation, including the source, quotation method (bid, mid etc.) and any applicable quotation amount.
valuationDate	ValuationDate	0..1	Defines the different methods to specify a valuation date, as used for cash settlement. The Single / Multiple ValuationDate is used for the determination of recovery in a credit event, the RelativeDateOffset is used for cash-settled option, and FxFixingDate is used for cross-currency settlement.
valuationTime	BusinessCenterTime	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. When using quations, this is the time of day in the specified business center when the calculation agent seeks quotations for an amount of the reference obligation for purposes of cash settlement. ISDA 2003 Term: Valuation Time.
cashSettlementAmount	Money	0..1	The amount paid by the seller to the buyer for cash settlement on the cash settlement date. If not otherwise specified, would typically be calculated as 100 (or the Reference Price) minus the price of the Reference Obligation (all expressed as a percentage) times Floating Rate Payer Calculation Amount. ISDA 2003 Term: Cash Settlement Amount.
recoveryFactor	number	0..1	Used for fixed recovery, specifies the recovery level, determined at contract formation, to be applied on a default. Used to calculate the amount paid by the seller to the buyer for cash settlement on the cash settlement date. Amount calculation is (1 minus the Recovery Factor) multiplied by the Floating Rate Payer Calculation Amount. The currency will be derived from the Floating Rate Payer Calculation Amount.
fixedSettlement	boolean	0..1	Used for Recovery Lock, to indicate whether fixed Settlement is Applicable or Not Applicable. If Buyer fails to deliver an effective Notice of Physical Settlement on or before the Buyer NOPS Cut-off Date, and if Seller fails to deliver an effective Seller NOPS on or before the Seller NOPS Cut-off Date, then either: (a) if Fixed Settlement is specified in the related Confirmation as not applicable, then the Seller NOPS Cut-off Date shall be the Termination Date; or (b) if Fixed Settlement is specified in the related Confirmation as applicable, then: (i) if the Fixed Settlement Amount is a positive number, Seller shall, subject to Section 3.1 (except for the requirement of satisfaction of the Notice of Physical Settlement Condition to Settlement), pay the Fixed Settlement Amount to Buyer on the Fixed Settlement Payment Date; and (ii) if the Fixed Settlement Amount is a negative number, Buyer shall, subject to Section 3.1 (except for the requirement of satisfaction of the Notice of Physical Settlement Condition to Settlement), pay the absolute value of the Fixed Settlement Amount to Seller on the Fixed Settlement Payment Date.
accruedInterest	boolean	0..1	Indicates whether accrued interest is included (true) or not (false). For cash settlement this specifies whether quotations should be obtained inclusive or not of accrued interest. For physical settlement this specifies whether the buyer should deliver the obligation with an outstanding principal balance that includes or excludes accrued interest. ISDA 2003 Term: Include/Exclude Accrued Interest.

Conditions

Validation rules the model enforces on this type, in Rune. An instance that breaks one of these is invalid CDM, whatever produced it.

CashSettlementTermsChoice Condition

Choice rule to represent an FpML choice construct.

optional choice cashSettlementAmount, recoveryFactor

RecoveryFactor Condition

FpML specifies recoveryFactor as a RestrictedPercentage, meaning that it is a decimal which value is restricted between 0 and 1.

if recoveryFactor exists
then recoveryFactor >= 0.0 and recoveryFactor <= 1.0

CashCollateralMethod Condition

The cash collateral valuation method only applies to mid-market and replacement value methods.

if valuationMethod -> cashCollateralValuationMethod exists
then cashSettlementMethod = CashSettlementMethodEnum -> MidMarketIndicativeQuotations
        or cashSettlementMethod = CashSettlementMethodEnum -> MidMarketIndicativeQuotationsAlternate
        or cashSettlementMethod = CashSettlementMethodEnum -> MidMarketCalculationAgentDetermination
        or cashSettlementMethod = CashSettlementMethodEnum -> ReplacementValueFirmQuotations
        or cashSettlementMethod = CashSettlementMethodEnum -> ReplacementValueCalculationAgentDetermination

MidMarketValuationMethod Condition

Certain cash collateral valuation parameters only apply to the mid-market valuation methods.

if (valuationMethod -> cashCollateralValuationMethod -> applicableCsa exists
        or valuationMethod -> cashCollateralValuationMethod -> agreedDiscountRate exists
        or valuationMethod -> cashCollateralValuationMethod -> cashCollateralInterestRate exists)
then cashSettlementMethod = CashSettlementMethodEnum -> MidMarketIndicativeQuotations
        or cashSettlementMethod = CashSettlementMethodEnum -> MidMarketIndicativeQuotationsAlternate
        or cashSettlementMethod = CashSettlementMethodEnum -> MidMarketCalculationAgentDetermination

ReplacementValueMethod Condition

Protected party can only be specified for replacement value methods.

if valuationMethod -> cashCollateralValuationMethod -> protectedParty exists
then cashSettlementMethod = CashSettlementMethodEnum -> ReplacementValueFirmQuotations
        or cashSettlementMethod = CashSettlementMethodEnum -> ReplacementValueCalculationAgentDetermination

FirmQuotationMethod Condition

Prescribed documentation adjustment can only be specified for firm quotations method.

if valuationMethod -> cashCollateralValuationMethod -> prescribedDocumentationAdjustment exists
then cashSettlementMethod = CashSettlementMethodEnum -> ReplacementValueFirmQuotations

Referenced by

2 types hold a CashSettlementTerms as an attribute.

ReferencePoolItem SettlementTerms

Functions

Model functions that produce or consume this type. These are the CDM's own behaviour — the logic a correct implementation has to match.

Function	Role	Description
MapCashSettlementToCashSettlementTerms	returns	—
MapMidMarketValuationMethodToCashSettlementTerms	returns	—
MapReplacementValueFirmQuotationsMethodToCashSettlementTerms	returns	—
MapReplacementValueCalculationAgentDeterminationMethodToCashSettlementTerms	returns	—
MapCollateralizedCashPriceMethodToCashSettlementTerms	returns	—
MapCashPriceMethodToCashSettlementTerms	returns	—
MapYieldCurveMethodToCashSettlementTerms	returns	—
MapCrossCurrencyMethodToCashSettlementTerms	returns	—

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Parsed from CDM 7.2.0 · product-common-settlement-type.rosetta cdm.product.common.settlement