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<LegCashSettlTermGrp> Component Block

The LegCashSettlTermGrp is a repeating component within the InstrumentLeg component used to report cash settlement terms.

Usage of LegCashSettlTermGrp must either include a known LegCashSettlAmount(41357) or provide the cash settlement term parameters needed to derive the cash settlement amount. LegCashSettlTermXID(41362) is provided for cross-referencing from an instance of the UnderlyingInstrument component through the UnderlyingSettlTermXIDRef(41315) field.

Used in :

Tag Field Name FIXML Req'd Comments
41344 NoLegCashSettlTerms CashSettlTrm N

Number of elements in the repeating group.
=> 41345 LegCashSettlCurrency @Ccy C

Required if NoLegCashSettlTerms(41344) > 0.
=> 41346 LegCasSettlValuationFirstBusinessDayOffset @BizDayOfst N

The number of business days after settlement conditions have been satisfied, when the calculation agent is to obtain a price quotation on the reference obligation for purposes of cash settlement.

Associated with ISDA 2003 Term: Valuation Date.
=> 41347 LegCashSettlValuationSubsequentBusinessDaysOffset @SbsqntBizDayOfst N

The number of business days between successive valuation dates when multiple valuation dates are applicable for cash settlement.
=> 41348 LegCashSettlNumOfValuationDates @NumValDts N

Where multiple valuation dates are specified as being applicable for cash settlement, this element specifies the number of applicable valuation dates.

Associated with ISDA 2003 Term: Valuation Date
=> 41349 LegCashSettlValuationTime @ValTm N

Time of valuation.
=> 41350 LegCashSettlBusinessCenter @BizCtr N

Identifies the business center calendar used at valuation time for cash settlement purposes e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.
=> 41351 LegCashSettlQuoteMethod @QteMeth N

The type of quote used to determine the cash settlement price.
=> 41352 LegCashSettlQuoteAmount @QteAmt N

When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the upper limit to the outstanding principal balance of the reference obligation for which the quote should be obtained. If not specified, the ISDA definitions provide for a fallback amount equal to floating rate payer calculation amount.

ISDA 2003 Term: Quotation Amount.
=> 41353 LegCashSettlQuoteCurrency @QteCcy N

Specifies the currency the LegCashSettlQuoteAmount(41352) is denominated in. Uses ISO 4217 Currency Code.
=> 41354 LegCashSettlMinimumQuoteAmount @MinQteAmt N

When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the minimum intended threshold amount of outstanding principal balance of the reference obligation for which the quote should be obtained. If not specified, the ISDA definitions provide for a fallback amount of the lower of either USD1,000,000 (or its equivalent in the relevant obligation currency) or the (minimum) quoted amount.

ISDA 2003 Term: Minimum Quotation Amount.
=> 41355 LegCashSettlMinimumQuoteCurrency @MinQteCcy N

Specifies the currency the LegCashSettlQuoteMinimumAmount(41354) is denominated in. Uses ISO 4217 Currency Code.
=> <LegCashSettlDealerGrp> N
=> 42308 LegCashSettlPriceSource @PxSrc N

The source from which the settlement price is to be obtained.

See http://www.fpml.org/coding-scheme/settlement-price-source for values.
=> 42309 LegCashSettlPriceDefault @PxDflt N

The default election for determining settlement price.
=> 41356 LegCashSettlBusinessDays @BizDays N

The number of business days used in the determination of the cash settlement payment date.

If a cash settlement amount is specified, the cash settlement payment date will be this number of business days following the calculation of the final price. If a cash settlement amount is not specified, the cash settlement payment date will be this number of business days after all conditions to settlement are satisfied. ISDA 2003 Term: Cash Settlement Date.

=> 41357 LegCashSettlAmount @Amt N

The amount paid between the trade parties, seller to the buyer, for cash settlement on the cash settlement date.

If not specified this would typically be calculated as ((100 or the reference price) - reference obligation price) x floating rate payer calculation amount. Price values are all expressed as a percentage. ISDA 2003 Term: Cash Settlement Amount.

=> <LegCashSettlDate> N
=> 41358 LegCashSettlRecoveryFactor @RcvryFctr N

Used for fixed recovery, this specifies the recovery level as determined at contract inception, to be applied in the event of a default. The factor is used to calculate the amount paid by the seller to the buyer for cash settlement on the cash settlement date. The amount calculated is (1 - LegCashSettlRecoveryFactor(41358)) x floating rate payer calculation amount. The currency is derived from the floating rate payer calculation amount.

=> 41359 LegCashSettlFixedTermIndicator @FixedInd N

Indicates whether fixed settlement is applicable or not applicable in a recovery lock.
=> 41360 LegCashSettlAccruedInterestIndicator @AcrdIntInd N

Indicates whether accrued interest is included or not in the value provided in LegCashSettlAmount(41357).

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.
=> 41361 LegCashSettlValuationMethod @ValMeth N

The ISDA defined methodology for determining the final price of the reference obligation for purposes of cash settlement.

ISDA 2003 Term: Valuation Method.
=> 41362 LegCashSettlTermXID @XID N

A named string value referenced by UnderlyingSettlTermXIDRef(41315).

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