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Swap (SWAPS)

Description​

Exchange of two basic CT´s (PAM, ANN etc.). Normally one is fixed, the other variable. However all variants possible including different currencies for cross currency swaps, basic swaps or even different principal exchange programs.

Real-world Instrument Examples (but not limited to)​

All kind of swaps. The variety is defined by the underlying CT´s which often are PAM and ANN in all its flavors. With each new basic CT the variety rises.

Required Terms​

  • contractDealDate
  • contractID
  • contractRole
  • contractStructure
  • contractType
  • counterpartyID
  • creatorID
  • currency
  • statusDate

Conditional Groups​

Group 5​

  • Drivers: purchaseDate
  • Required if triggered: priceAtPurchaseDate
  • Optional: None

Group 6​

  • Drivers: terminationDate
  • Required if triggered: priceAtTerminationDate
  • Optional: None

Standalone Optional Terms​

  • contractPerformance
  • delinquencyPeriod
  • delinquencyRate
  • deliverySettlement
  • gracePeriod
  • marketObjectCode
  • marketValueObserved
  • nonPerformingDate
  • seniority
  • settlementCurrency

Notes​

  • contractType is automatically set to "SWAPS" when using the class.