UnderlyingStipType

Values only in FIX Latest · EP309 99

• AMTAlternative Minimum Tax (Y/N)
• AUTOREINVAuto Reinvestment at <rate> or better
• BANKQUALBank qualified (Y/N)
• BGNCONBargain conditions (see StipulationValue (234) for values)
• COUPONCoupon range
• CURRENCYISO Currency Code
• CUSTOMDATECustom start/end date
• GEOGGeographics and % range (ex. 234=CA 0-80 [minimum of 80% California assets])
• HAIRCUTValuation Discount
• INSUREDInsured (Y/N)
• ISSUEYear Or Year/Month of Issue (ex. 234=2002/09)
• ISSUERIssuer's ticker
• ISSUESIZEissue size range
• LOOKBACKLookback Days
• LOTExplicit lot identifier
• LOTVARLot Variance (value in percent maximum over- or under-allocation allowed)
• MATMaturity Year And Month
• MATURITYMaturity range
• MAXSUBSMaximum substitutions (Repo)
• MINDNOMMinimum denomination
• MININCRMinimum increment
• MINQTYMinimum quantity
• PAYFREQPayment frequency, calendar
• PIECESNumber Of Pieces
• PMAXPools Maximum
• PPLPools per Lot
• PPMPools per Million
• PPTPools per Trade
• PRICEPrice Range
• PRICEFREQPricing frequency
• PRODProduction Year
• PROTECTCall protection
• PURPOSEPurpose
• PXSOURCEBenchmark price source
• RATINGRating source and range
• REDEMPTIONType Of Redemption - values are: NonCallable, Prefunded, EscrowedToMaturity, Putable, Convertible
• RESTRICTEDRestricted (Y/N)
• SECTORMarket Sector
• SECTYPESecurity Type included or excluded
• STRUCTStructure
• SUBSFREQSubstitutions frequency (Repo)
• SUBSLEFTSubstitutions left (Repo)
• TEXTFreeform Text
• TRDVARTrade Variance (value in percent maximum over- or under-allocation allowed)
• WACWeighted Average Coupon - value in percent (exact or range) plus "Gross" or "Net" of servicing spread (the default) (ex. 234=6.5-Net [minimum of 6.5% net of servicing fee])
• WALWeighted Average Life Coupon - value in percent (exact or range)
• WALAWeighted Average Loan Age - value in months (exact or range)
• WAMWeighted Average Maturity - value in months (exact or range)
• WHOLEWhole Pool (Y/N)
• YIELDYield Range
• ORIGAMTOriginal amount
  Additional source detail

  The original issued amount of a mortgage backed security or other loan/asset backed security.

• POOLEFFDTPool effective date
• POOLINITFCTRPool initial factor
  Additional source detail

  For morttgage backed securities, the part of the mortgage that is outstanding on trade inception, i.e. has not been repaid yet as principal. It is expressed as a multiplier factor to the mortgage: where 1 means that the whole mortage amount is outstanding, 0.8 means that80% remains to be repaid and 20% has been repaid.

• TRANCHETranche identifier
  Additional source detail

  Identifies the tranche of a mortgage backed security, loan, collateralized mortgage obligation or similar securities that can be split into different risk or maturity (for example) classes.

• SUBSTITUTIONSubstitution (Y/N)
  Additional source detail

  Indicates whether substitution is applicable (Y) or (N).

• MULTEXCHFLLBCKMultiple exchange fallback (Y/N)
  Additional source detail

  For an index option transaction, indicates whether a relevant "Multiple Exchange Index Annex" is applicable (Y) to the transaction or not (N). This annex defines additional provisions which are applicable where an index is comprised of component securities that are traded on multiple exchanges.

• COMPSECFLLBCKComponent security fallback (Y/N)
  Additional source detail

  For an index option transaction, indicates whether a relevant "Component Security Index Annex" is applicable (Y) to the transaction or not (N).

• LOCLJRSDCTNLocal jurisdiction (Y/N)
  Additional source detail

  "Local Jurisdiction" is used in the AEJ Master Confirmation to determine applicability (Y), or not (N), of local taxes (including taxes, duties, and similar charges) imposed by the taxing authority of the local jurisdiction.

• RELVJRSDCTNRelevant jurisdiction (Y/N)
  Additional source detail

  "Relevant Jurisdiction" is used in the AEJ Master Confirmation to determine applicability (Y), or not (N), of local taxes (including taxes, duties and similar charges) that would be imposed by the taxing authority of the "country of underlier" on a "hypothetical broker dealer" assuming that the applicable hedge positions are held by its office in the Relevant Jurisdiction.

• INCURRCVYIncurred recovery (Y/N)
  Additional source detail

  Specifies whether incurred recovery is applicable (Y) or not (N). Outstanding Swap Notional Amount is defined at any time on any day, as the greater of: (a) Zero; If Incurred Recovery Amount Applicable: (b) The Original Swap Notional Amount minus the sum of all Incurred Loss Amounts and all Incurred Recovery Amounts (if any) determined under this Confirmation at or prior to such time.Incurred Recovery Amount not populated: (b) The Original Swap Notional Amount minus the sum of all Incurred Loss Amounts determined under this Confirmation at or prior to such time. 2009 CDX Tranche Terms.

• ADDTRMAdditional term
  Additional source detail

  Used for representing information contained in the Additional Terms field of the 2003 Master Credit Derivatives confirm.

• MODEQTYDLVYModified equity delivery
  Additional source detail

  Indicates whether delivery of selected obligationshaving an amountgreater than the reference entity notional amount is allowed (Y) or (N). 2005 iTraxx tranched Transactions Standard Terms Supplement.

• NOREFOBLIGNo reference obligation (Y/N)
  Additional source detail

  When specified as "Y" this indicates that there is no Reference Obligation associated with this Credit Default Swap and that there will never be one. 2003 ISDA Credit Derivatives Definitions.

• UNKREFOBLIGUnknown reference obligation (Y/N)
  Additional source detail

  When specified as "Y" this indicates that the Reference obligation associated with the Credit Default Swap is currently not known. This is not valid for Legal Confirmation purposes, but is valid for earlier stages in the trade life cycle (e.g. Broker Confirmation). 2003 FpML-CD-4.0.

• ALLGUARANTEESAll guarantees (Y/N)
  Additional source detail

  Indicates whether an obligation of the Reference Entity, guaranteed by the Reference Entity on behalf of a non-Affiliate, is to be considered an Obligation for the purpose of the transaction (Y) or (N). ISDA 2003 Term: All Guarantees.

• REFPXReference price (Y/N)
  Additional source detail

  Specifies the reference price expressed as a percentage between 0 and 1 (e.g. 0.05 is 5%). The reference price is used to determine (a) for physically settled trades, the Physical Settlement Amount, which equals the Floating Rate Payer Calculation Amount times the Reference Price and (b) for cash settled trades, the Cash Settlement Amount, which equals the greater of (i) the difference between the Reference Price and the Final Price and (ii) zero. ISDA 2003 Term: Reference Price.

• REFPOLICYReference policy (Y/N)
  Additional source detail

  Indicates whether the reference obligation is guaranteed (Y), or not (N), under a reference policy. If the Reference Obligation is guaranteed under a Reference Policy, and such Reference Policy by its terms excludes any component of the Expected Principal Amount for purposes of determining the liability of the relevant Insurer, or the Insurer is otherwise not required to pay any such amounts under the terms of the Reference Policy, the relevant component or amount shall also be excluded for purposes of determining the Expected Principal Amount with respect to any determination of Principal Shortfall hereunder. 2006 ISDA CDS on MBS Terms.

• SECRDLISTSecured list (Y/N)
  Additional source detail

  Specifies whether a list of Syndicated Secured Obligations (also known as the Relevant Secured List) exists (Y), or not (N), for the Reference Entity. With respect to any day, the list of Syndicated Secured Obligations of the Designated Priority of the Reference Entity published by Markit Group Limited or any successor thereto appointed by the Specified Dealers (the "Secured List Publisher") on or most recently before such day, which list is currently available at [http://www.markit.com]. ISDA 2003 Term: Relevant Secured List.

• AVFICOAverage FICO Score
• AVSIZEAverage Loan Size
• MAXBALMaximum Loan Balance
• POOLPool Identifier
• ROLLTYPEType of Roll trade
• REFTRADEReference to rolling or closing trade
• REFPRINPrincipal to rolling or closing trade
• REFINTInterest of rolling or closing trade
• AVAILQTYAvailable offer quantity to be shown to the street
• BROKERCREDITBroker's sales credit
• INTERNALPXOffer price to be shown to internal brokers
• INTERNALQTYOffer quantity to be shown to internal brokers
• LEAVEQTYThe minimum residual offer quantity
• MAXORDQTYMaximum order size
• ORDRINCROrder quantity increment
• PRIMARYPrimary or Secondary market indicator
• SALESCREDITOVRBroker sales credit override
• TRADERCREDITTrader's credit
• DISCOUNTDiscount Rate (when price is denominated in percent of par)
• YTMYield to Maturity (when YieldType(235) and Yield(236) show a different yield)
• PAYOFFInterest payoff of rolling or amending trade
• ABSAbsolute Prepayment Speed
• CPPConstant Prepayment Penalty
• CPRConstant Prepayment Rate
• CPYConstant Prepayment Yield
• HEPfinal CPR of Home Equity Prepayment Curve
• MHPPercent of Manufactured Housing Prepayment Curve
• MPRMonthly Prepayment Rate
• PPCPercent of Prospectus Prepayment Curve
• PSAPercent of BMA Prepayment Curve
• SMMSingle Monthly Mortality