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AssetDerivatives
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Common concepts for derivatives based on securities as their underliers, including those based on indices or baskets of these assets. Incudes details of kinds of asset and asset observable legs and statistical swap contracts.
asset underlier
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an underlier consisting of one or more of a basket of securities, individual securities, or security indices
This may be an equity (single stock), an equity index, bond, basket of stocks and so on. Different types of options, swaps (swal floating leg) and so on, may have specific types of underlyer from this list.
debt derivative contract
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debt observable
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The instrument which is defined as the Reference Asset for this leg. This is the instrument the interest cashflows of which become payable under this leg of the Swap.
Currently defined as a tradable debt instrument only. Review and confirm.
equity derivative contract
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equity index observable
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equity observable
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An equity underlying component, which can be either a single equity asset, an equity index, or a custom basket of equity assets.
FpML: 'Specifies the underlying component, which can be either a single asset, an index, or a custom basket of assets.' Note that this refers to the observable, whether or not it is also the deliverable. That is, for the equity or basket or index in question, the value of something about it is observed, and the instrument is based on that. This may for example be the dividend, or it may be the value of an equity trading index.
futures contract delivery
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realized variable leg
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Leg which relates to some statistical measure of performance of the underlying.
This is generally the floating leg of a statistical type of swap or a dividend swap. The other leg of these swaps is implied, and is simply the strike. Payment is netted up at maturity and so there is no stream of cashflows either way. Earlier notes: Typically these are defined for swaps where there is only one leg; payments are determined at maturity of the swap contract and may go either way. Payments are determined by comparison of the value of the statistical measure at maturity with the pre-defined strike value of that parameter.
realized variable swap side terms
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Terms for legs which relate to some statistical measure of performance of the underlying.
This generally defines the floating leg of a statistical type of swap or a dividend swap. The other leg of these swaps is implied, and is simply the strike. Payment is netted up at maturity and so there is no stream of cashflows either way. Earlier notes: Typically these are defined for swaps where there is only one leg; payments are determined at maturity of the swap contract and may go either way. Payments are determined by comparison of the value of the statistical measure at maturity with the pre-defined strike value of that parameter.
security cash equivalent delivery
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security forward delivery
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Forward delivery of an Asset (Equity or Debt) either in the form of the asset itself (the observable) or the cash equivalent.
set of equity index constituents observable
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An observable (underlying) which is made up of a set of constituents of an index.
This is a relative "Underlying" term which should include all facts about how the set of constituents is determined, made up and observed e.g. where price source should be. This is in line with how all observables are done. This then has an identity in the form of a "Set of Index Constituents" that is the actual collection itself.
single settlement swap
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A Swap Transaction which relates to some statistical measure of performance of the underlying.
Typically these swaps only have one leg; payments are determined at maturity of the swap contract and may go either way. Payments are determined by comparison of the value of the statistical measure at maturity with the pre-defined strike value of that parameter.
single share observable
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statistical swap contract
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underlying security delivery
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defined as
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drawn from
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