Class: CashSettlementTerms

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.

URI: common_domain_model:CashSettlementTerms

 classDiagram
    class CashSettlementTerms
    click CashSettlementTerms href "../CashSettlementTerms/"
      CashSettlementTerms : accruedInterest
        
      CashSettlementTerms : cashSettlementAmount
        
          
    
        
        
        CashSettlementTerms --> "0..1" Money : cashSettlementAmount
        click Money href "../Money/"
    

        
      CashSettlementTerms : cashSettlementMethod
        
          
    
        
        
        CashSettlementTerms --> "0..1" CashSettlementMethodEnum : cashSettlementMethod
        click CashSettlementMethodEnum href "../CashSettlementMethodEnum/"
    

        
      CashSettlementTerms : fixedSettlement
        
      CashSettlementTerms : recoveryFactor
        
      CashSettlementTerms : valuationDate
        
          
    
        
        
        CashSettlementTerms --> "0..1" ValuationDate : valuationDate
        click ValuationDate href "../ValuationDate/"
    

        
      CashSettlementTerms : valuationMethod
        
          
    
        
        
        CashSettlementTerms --> "0..1" ValuationMethod : valuationMethod
        click ValuationMethod href "../ValuationMethod/"
    

        
      CashSettlementTerms : valuationTime
        
          
    
        
        
        CashSettlementTerms --> "0..1" BusinessCenterTime : valuationTime
        click BusinessCenterTime href "../BusinessCenterTime/"
    

        
      

Slots

Name	Cardinality and Range	Description	Inheritance
cashSettlementMethod	0..1 CashSettlementMethodEnum	Specifies the type of cash settlement method: cash price, yield curve etc	direct
valuationMethod	0..1 ValuationMethod	Specifies the parameters required to obtain a valuation, including the source…	direct
valuationDate	0..1 ValuationDate	Defines the different methods to specify a valuation date, as used for cash s…	direct
valuationTime	0..1 BusinessCenterTime	The time of the cash settlement valuation date when the cash settlement amoun…	direct
cashSettlementAmount	0..1 Money	The amount paid by the seller to the buyer for cash settlement on the cash se…	direct
recoveryFactor	0..1 Decimal	Used for fixed recovery, specifies the recovery level, determined at contract…	direct
fixedSettlement	0..1 Boolean	Used for Recovery Lock, to indicate whether fixed Settlement is Applicable or…	direct
accruedInterest	0..1 Boolean	Indicates whether accrued interest is included (true) or not (false)	direct

Expressions & Logic

All Of

The class must satisfy all of:

• AnonymousClassExpression({ ‘description’: ‘CashSettlementTermsChoice: Choice rule to represent an FpML choice construct.’, ‘exactly_one_of’: [AnonymousClassExpression({ ‘slot_conditions’: {‘cashSettlementAmount’: SlotDefinition({‘name’: ‘cashSettlementAmount’, ‘value_presence’: PresenceEnum(text=‘PRESENT’)})} }), AnonymousClassExpression({ ‘slot_conditions’: {‘recoveryFactor’: SlotDefinition({‘name’: ‘recoveryFactor’, ‘value_presence’: PresenceEnum(text=‘PRESENT’)})} }), AnonymousClassExpression({ ‘all_of’: [AnonymousClassExpression({ ‘slot_conditions’: {‘cashSettlementAmount’: SlotDefinition({‘name’: ‘cashSettlementAmount’, ‘value_presence’: PresenceEnum(text=‘ABSENT’)})} }), AnonymousClassExpression({ ‘slot_conditions’: {‘recoveryFactor’: SlotDefinition({‘name’: ‘recoveryFactor’, ‘value_presence’: PresenceEnum(text=‘ABSENT’)})} })] })] })

Usages

used by	used in	type	used
ReferencePoolItem	cashSettlementTermsReference	range	CashSettlementTerms
SettlementTerms	cashSettlementTerms	range	CashSettlementTerms

Rules

Rule Applied	Preconditions	Postconditions	Elseconditions
slot_conditions	{'recoveryFactor': {'value_presence': 'PRESENT'}}
all_of		[{'slot_conditions': {'recoveryFactor': {'minimum_value': 0, 'value_presence': 'PRESENT'}}}, {'slot_conditions': {'recoveryFactor': {'maximum_value': 1, 'value_presence': 'PRESENT'}}}]

Comments

• Rosetta condition CashCollateralMethod is not stated in LinkML: if valuationMethod -> cashCollateralValuationMethod exists then cashSettlementMethod = CashSettlementMethodEnum -> MidMarketIndicativeQuotations or cashSettlementMethod = CashSettlementMethodEnum -> MidMarketIndicativeQuotationsAlternate or cashSettlementMethod = CashSettlementMethodEnum -> MidMarketCalculationAgentDetermination or cashSettlementMethod = CashSettlementMethodEnum -> ReplacementValueFirmQuotations or cashSettlementMethod = CashSettlementMethodEnum -> ReplacementValueCalculationAgentDetermination
• Rosetta condition MidMarketValuationMethod is not stated in LinkML: 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
• Rosetta condition ReplacementValueMethod is not stated in LinkML: if valuationMethod -> cashCollateralValuationMethod -> protectedParty exists then cashSettlementMethod = CashSettlementMethodEnum -> ReplacementValueFirmQuotations or cashSettlementMethod = CashSettlementMethodEnum -> ReplacementValueCalculationAgentDetermination
• Rosetta condition FirmQuotationMethod is not stated in LinkML: if valuationMethod -> cashCollateralValuationMethod -> prescribedDocumentationAdjustment exists then cashSettlementMethod = CashSettlementMethodEnum -> ReplacementValueFirmQuotations

Identifier and Mapping Information

Annotations

property	value
rosetta_metadata	key

Schema Source

• from schema: https://w3id.org/lmodel/common-domain-model

Mappings

Mapping Type	Mapped Value
self	common_domain_model:CashSettlementTerms
native	common_domain_model:CashSettlementTerms

LinkML Source

Direct

name: CashSettlementTerms
annotations:
  rosetta_metadata:
    tag: rosetta_metadata
    value: key
description: 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.
comments:
- 'Rosetta condition CashCollateralMethod is not stated in LinkML: if valuationMethod
  -> cashCollateralValuationMethod exists then cashSettlementMethod = CashSettlementMethodEnum
  -> MidMarketIndicativeQuotations or cashSettlementMethod = CashSettlementMethodEnum
  -> MidMarketIndicativeQuotationsAlternate or cashSettlementMethod = CashSettlementMethodEnum
  -> MidMarketCalculationAgentDetermination or cashSettlementMethod = CashSettlementMethodEnum
  -> ReplacementValueFirmQuotations or cashSettlementMethod = CashSettlementMethodEnum
  -> ReplacementValueCalculationAgentDetermination'
- 'Rosetta condition MidMarketValuationMethod is not stated in LinkML: 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'
- 'Rosetta condition ReplacementValueMethod is not stated in LinkML: if valuationMethod
  -> cashCollateralValuationMethod -> protectedParty exists then cashSettlementMethod
  = CashSettlementMethodEnum -> ReplacementValueFirmQuotations or cashSettlementMethod
  = CashSettlementMethodEnum -> ReplacementValueCalculationAgentDetermination'
- 'Rosetta condition FirmQuotationMethod is not stated in LinkML: if valuationMethod
  -> cashCollateralValuationMethod -> prescribedDocumentationAdjustment exists then
  cashSettlementMethod = CashSettlementMethodEnum -> ReplacementValueFirmQuotations'
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  cashSettlementMethod:
    name: cashSettlementMethod
    description: 'Specifies the type of cash settlement method: cash price, yield
      curve etc.'
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    rank: 1000
    domain_of:
    - CashSettlementTerms
    range: CashSettlementMethodEnum
  valuationMethod:
    name: valuationMethod
    description: Specifies the parameters required to obtain a valuation, including
      the source, quotation method (bid, mid etc.) and any applicable quotation amount.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    domain_of:
    - ValuationMethod
    - CashSettlementTerms
    range: ValuationMethod
  valuationDate:
    name: valuationDate
    description: 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.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    domain_of:
    - PerformanceValuationDates
    - CalculationAndTimingLegacy
    - CalculationAndTimingVariationMargin
    - NonDeliverableSubstitute
    - CashSettlementTerms
    - ValuationDate
    range: ValuationDate
  valuationTime:
    name: valuationTime
    description: '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.'
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    domain_of:
    - PerformanceValuationDates
    - CalculationAndTimingLegacy
    - CalculationAndTimingVariationMargin
    - CashSettlementTerms
    range: BusinessCenterTime
  cashSettlementAmount:
    name: cashSettlementAmount
    description: '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.'
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    rank: 1000
    domain_of:
    - CashSettlementTerms
    range: Money
  recoveryFactor:
    name: recoveryFactor
    description: 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.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    rank: 1000
    domain_of:
    - CashSettlementTerms
    range: decimal
  fixedSettlement:
    name: fixedSettlement
    description: '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.'
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    rank: 1000
    domain_of:
    - CashSettlementTerms
    range: boolean
  accruedInterest:
    name: accruedInterest
    description: '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.'
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    rank: 1000
    domain_of:
    - CashSettlementTerms
    - DeliverableObligations
    range: boolean
rules:
- preconditions:
    slot_conditions:
      recoveryFactor:
        name: recoveryFactor
        value_presence: PRESENT
  postconditions:
    all_of:
    - slot_conditions:
        recoveryFactor:
          name: recoveryFactor
          minimum_value: 0
          value_presence: PRESENT
    - slot_conditions:
        recoveryFactor:
          name: recoveryFactor
          maximum_value: 1
          value_presence: PRESENT
  description: 'RecoveryFactor: FpML specifies recoveryFactor as a RestrictedPercentage,
    meaning that it is a decimal which value is restricted between 0 and 1.'
all_of:
- description: 'CashSettlementTermsChoice: Choice rule to represent an FpML choice
    construct.'
  exactly_one_of:
  - slot_conditions:
      cashSettlementAmount:
        name: cashSettlementAmount
        value_presence: PRESENT
  - slot_conditions:
      recoveryFactor:
        name: recoveryFactor
        value_presence: PRESENT
  - all_of:
    - slot_conditions:
        cashSettlementAmount:
          name: cashSettlementAmount
          value_presence: ABSENT
    - slot_conditions:
        recoveryFactor:
          name: recoveryFactor
          value_presence: ABSENT

Induced

name: CashSettlementTerms
annotations:
  rosetta_metadata:
    tag: rosetta_metadata
    value: key
description: 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.
comments:
- 'Rosetta condition CashCollateralMethod is not stated in LinkML: if valuationMethod
  -> cashCollateralValuationMethod exists then cashSettlementMethod = CashSettlementMethodEnum
  -> MidMarketIndicativeQuotations or cashSettlementMethod = CashSettlementMethodEnum
  -> MidMarketIndicativeQuotationsAlternate or cashSettlementMethod = CashSettlementMethodEnum
  -> MidMarketCalculationAgentDetermination or cashSettlementMethod = CashSettlementMethodEnum
  -> ReplacementValueFirmQuotations or cashSettlementMethod = CashSettlementMethodEnum
  -> ReplacementValueCalculationAgentDetermination'
- 'Rosetta condition MidMarketValuationMethod is not stated in LinkML: 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'
- 'Rosetta condition ReplacementValueMethod is not stated in LinkML: if valuationMethod
  -> cashCollateralValuationMethod -> protectedParty exists then cashSettlementMethod
  = CashSettlementMethodEnum -> ReplacementValueFirmQuotations or cashSettlementMethod
  = CashSettlementMethodEnum -> ReplacementValueCalculationAgentDetermination'
- 'Rosetta condition FirmQuotationMethod is not stated in LinkML: if valuationMethod
  -> cashCollateralValuationMethod -> prescribedDocumentationAdjustment exists then
  cashSettlementMethod = CashSettlementMethodEnum -> ReplacementValueFirmQuotations'
from_schema: https://w3id.org/lmodel/common-domain-model
attributes:
  cashSettlementMethod:
    name: cashSettlementMethod
    description: 'Specifies the type of cash settlement method: cash price, yield
      curve etc.'
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    rank: 1000
    owner: CashSettlementTerms
    domain_of:
    - CashSettlementTerms
    range: CashSettlementMethodEnum
  valuationMethod:
    name: valuationMethod
    description: Specifies the parameters required to obtain a valuation, including
      the source, quotation method (bid, mid etc.) and any applicable quotation amount.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    owner: CashSettlementTerms
    domain_of:
    - ValuationMethod
    - CashSettlementTerms
    range: ValuationMethod
  valuationDate:
    name: valuationDate
    description: 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.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    owner: CashSettlementTerms
    domain_of:
    - PerformanceValuationDates
    - CalculationAndTimingLegacy
    - CalculationAndTimingVariationMargin
    - NonDeliverableSubstitute
    - CashSettlementTerms
    - ValuationDate
    range: ValuationDate
  valuationTime:
    name: valuationTime
    description: '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.'
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    owner: CashSettlementTerms
    domain_of:
    - PerformanceValuationDates
    - CalculationAndTimingLegacy
    - CalculationAndTimingVariationMargin
    - CashSettlementTerms
    range: BusinessCenterTime
  cashSettlementAmount:
    name: cashSettlementAmount
    description: '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.'
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    rank: 1000
    owner: CashSettlementTerms
    domain_of:
    - CashSettlementTerms
    range: Money
  recoveryFactor:
    name: recoveryFactor
    description: 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.
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    rank: 1000
    owner: CashSettlementTerms
    domain_of:
    - CashSettlementTerms
    range: decimal
  fixedSettlement:
    name: fixedSettlement
    description: '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.'
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    rank: 1000
    owner: CashSettlementTerms
    domain_of:
    - CashSettlementTerms
    range: boolean
  accruedInterest:
    name: accruedInterest
    description: '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.'
    from_schema: https://w3id.org/lmodel/common-domain-model/cdm_product_common_settlement
    rank: 1000
    owner: CashSettlementTerms
    domain_of:
    - CashSettlementTerms
    - DeliverableObligations
    range: boolean
rules:
- preconditions:
    slot_conditions:
      recoveryFactor:
        name: recoveryFactor
        value_presence: PRESENT
  postconditions:
    all_of:
    - slot_conditions:
        recoveryFactor:
          name: recoveryFactor
          minimum_value: 0
          value_presence: PRESENT
    - slot_conditions:
        recoveryFactor:
          name: recoveryFactor
          maximum_value: 1
          value_presence: PRESENT
  description: 'RecoveryFactor: FpML specifies recoveryFactor as a RestrictedPercentage,
    meaning that it is a decimal which value is restricted between 0 and 1.'
all_of:
- description: 'CashSettlementTermsChoice: Choice rule to represent an FpML choice
    construct.'
  exactly_one_of:
  - slot_conditions:
      cashSettlementAmount:
        name: cashSettlementAmount
        value_presence: PRESENT
  - slot_conditions:
      recoveryFactor:
        name: recoveryFactor
        value_presence: PRESENT
  - all_of:
    - slot_conditions:
        cashSettlementAmount:
          name: cashSettlementAmount
          value_presence: ABSENT
    - slot_conditions:
        recoveryFactor:
          name: recoveryFactor
          value_presence: ABSENT