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Line Term 1 ALL Bond AND Traditional Warrant 2 selection 3 selection 4 Bank Qualified Tax Exemption 6 Bank Qualified 7 Bond Amortization Payment Terms Set 11 Periodic Amortization Amount 12 Principal Amortization Type 13 Amortization Calculations Day ount Convention 14 Bond Bullet Principal Repayment Terms Set 17 Bond Call Terms Set 20 Call Conditions 21 Premium 22 Lockout Period 23 Bond Coupon Interest Terms Set 25 Special Record Date 26 Annual Coupon Rate 27 Coupon Payment currency 28 Bond Coupon Terms Set 30 specifies 31 Bond Issue Information 33 OID 34 Bond Issue Prospectus 36 describes 37 Bond Offer Issue 39 is issue of 40 described in 41 Bond Offer Issue With Warrant 44 is issue of 45 Bond Principal Repayment Terms Set 48 Bond With Partial Call 50 has call terms 51 Bullet Bond 54 has repayment terms 55 Call Date 57 Callable Convertible Bond 59 Callable 60 Conditional Coupon Terms Set 64 has term for one coupon 65 Coupon Conditional Term 67 specifies 68 Condition 69 Coupon Periodic Date Series 71 regular period duration 72 Coupon Regular Period 74 regular period description 75 beginning 76 series end 77 Coupon Regular Period Length 79 Regular Period Days 80 Coupon Schedule Specification 82 scheduled coupon payment 83 has stub 84 has periodic date series 85 Coupon Stub Period 87 stub length 88 stub start 89 stub end 90 Credit Curve To Use 92 Debt Fixed Coupon Terms Set 95 has formula term 96 Fixed Coupon Amount 97 Debt Variable Coupon Terms Set 100 has formula term 101 specifies base rate 102 Reset Date Offset Days 103 Discount Curve To Use 105 Equity Linked Bond 107 Explicit Coupon Schedule Listing 109 specifies 110 Factor Calculation Formula 112 First Regular Coupon Date 114 Fixed Coupon Bond 117 has coupon 118 Fixed Interest Amount 120 Fixed Interest Calculation Formula 122 expression 123 Fixed Interest Expression 125 has parameter 126 Interest Amount 127 FRN Terms Set 131 specifies base rate 132 Base offset business days 133 Index Amortizing Bond 136 has principal repayment terms 137 Index Linked Coupon Terms Set 141 specifies base rate 142 Index Linked Principal Determination Terms Set 144 specifies index parameter 145 has formula term 146 Inflation Bond 148 has interest payment terms 149 has principal based on 150 has principal repayment terms 151 has factor 152 has principal repayment terms 153 Inflation Bond Interest Payment Terms Set 155 specifies coupon 156 Pays Variable Coupon 157 Inflation Bond Principal Repayment Terms Set 159 refers to 160 sets out formula 161 Pegged To Inflation Rate 162 Inflation Bond Variable Coupon Terms Set 166 refers to 167 Inflation Factor Expression 169 underlying parameter 170 Inflation Factor Formula 172 has subject 173 expression 174 Inflation Factor Subject 176 identity 177 Inflation Factor Underlying 179 operand is 180 Interest Reference Rate OR Tradable Debt Instrument 181 is instrument rate 182 is reference rate 183 Last Regular Coupon Date 185 Mandatory Sinking Fund Schedule Listing 187 schedules mandatory event 188 Mandatory Sinking Fund Terms 190 includes 191 Mandatory Sinking Fund 192 Super Sinker 193 MTN Issue 196 is issue of 197 Municipal Bond Issue Information 199 Bank Qualified 200 Debt Issuance Purpose 201 ONE OF Coupon Schedule Specification OR Explicit Coupon Schedule Listing 202 selection 203 selection 204 Partial Call Feature 206 Principal Payment Calculation Formula 208 has expression 209 Principal Payment Formula Expression 211 Redemption Schedule Listing 213 schedules 214 Single Coupon Terms Set 218 specifies 219 Sinking Fund Amortization Terms Set 221 includes 222 Mandatory 223 Sinking Fund Bond 226 has principal amortizaton terms 227 Step Schedule Listing 229 schedules 230 Stepped Coupon Terms Set 234 has schedule 235 Stub End Date 237 Stub Length 239 Stub Days 240 Stub Period 242 has length 243 Stub Start Date 245 Variable Interest Calculation Formula 247 Variable Principal Bond 249 sets out terms for 250 Zero Coupon and OID Bond Call Terms 252 includes basis for each date 253 Zero Coupon Terms Set 255 Fixed Coupon Amount 256 Coupon Frequency For Accrual alculations 257 Amortizing Security 260 has principal amortization terms 261 Notional 262 Bond 264 has listing 265 has coupon terms 266 has price 267 has issuance information 268 has principal repayment terms 269 has call terms 270 Callable 271 Capitalized Interest 272 Convertible 273 Bond with Warrant 275 Convertible Bond 277 has conversion terms 278 convertible into 279 Convertible 280 Corporate Bond 284 issuer 285 Corporate Bond Issuer 287 identified as 288 Floating Rate Note 290 has coupon 291 Government Bond 295 issuer 296 Index Linked Security 298 is based on 299 Medium Term Note 301 Municipal Bond 305 issuer 306 bank qualified status 307 has issuance information 308 Simple fact 309 Variable Coupon Bond 312 has coupon 313 Zero Coupon Bond 315 has zero coupon terms 316 has zero coupon call terms 317 FHLMC :Government Mortgage Agency 319 FNMA :Government Mortgage Agency 321 GNMA :Government Mortgage Agency Definition Synonym One or more series of Bonds and a Warrant which is issued with the bond. The Warrant which forms part of the Issue. The Bond(s) which make up the issue. Whether or not a municipal reasonably expects to issue in the calendar year of such offering no more than $10 million par amount of bonds of the type required to be included in making such calculation under the Internal Revenue Code. Whether the bond is classed as being Bank Qualified. Terms for payment of partial amounts of the Principal during the life of the Debt Security. The monetary amount of each amortization payment in the Amortization Schedule. The type of principal payments applicable to this security. Terms for payment of Principal as a single amount of payment of the full Principal. The terms and conditions in which a bond can be redeemed by the issuer prior to its maturity. Usually a premium is paid to the bond owner when the bond is called. The conditions under which a bond can be called back by the issuer. A premium paid to the bond owner when the bond is called. The lockout period refers to the amount of time for which a callable security cannot be called and only interest coupon payments are received by the security holder. For example, with a 10-year noncall 3-year ("10nc3") debt security, the security cannot be called for the first three years. Terms for payment of Interest on a Bond. These include terms for determining interest Coupon Terms. amounts, and terms for dates on which those amounts are to be paid. The record date associated with an odd first interest payment date that occurs before the start of the normal accrual cycle. Original annual rate of interest payable to the lender as expressed as a percentage of principal as stated in the bond's offering documents. The currency in which interest payment is to be made. A set of contractual terms defining the interest payments for a coupon of a bond. The schedule for payments of bond interest. Information about the Issuance of a Bond, which is maintained throughout the life of the Security. Discount from par value at the time a bond or other debt instrument is issued. The prospectus for the bond issue describes the terms of the issue and each of the instruments included in the bond issue. The Prospectus for a bond issue describes the Bond Offer Issue, including facts about the issue itself such as closing dates, and anticipated facts about the securities that will form part of that issue, An Issue of one or more Bonds, as all or part of an Offering of these bonds to the market. The bond(s) which make up the issue. Has Prospectus describing the terms of the issue and each of the instruments included in the bond issue. A bond issue where the issue includes a Warrant attached. The instruments which make up the issue, namely one or more series of Bonds and a Warrant which is issued with the bond. Terms for the repayment of the Principal on a Bond security. Bond Repayment Terms. A bond with a feature whereby the issue can be partially called for amounts that are at the discretion of the issuer. Feature of the bond whereby partial call is possible. A bond where the principal is paid off in a single payment on the scheduled maturity date. Has terms for repayment of the principal. This is paid in one single payment. Date on which the instrument may be called. A Convertible Bond which is also callable. Coupon where the coupon rate or the coupon terms may change according to some pre-defined trigger, for example when a given published interest rate passes a defined threshold. The term in the conditional coupon terms which matches one set of coupon terms (fixed rate or variable coupon) with one condition. When the condition is true, that coupon will be payable. A term in the conditional coupon terms which matches one set of coupon terms (fixed rate or variable coupon) with one condition. The bond coupon defined in this conditional term. When the condition described in this term is true, this Bond Coupon is applied to the Bond. The condition under which the given coupon is payable. This is stated as text. Periodic dates on which Interest Payments are made. The regular periodic component of a coupon schedule. Length of a regular periodic component of a coupon schedule. Number of days in coupon period in the series. Formal specification of the Schedule for regular payment of Coupon Amounts. The specified future event whereby payment of a given Coupon interest amount is to be made. Irregular Coupon Period at the start and / or the end of the Coupon Schedule, which does not fall into the Periodic Date Series. Periodic regular Coupon payments in the Coupon Schedule. Irregular Coupon Period at the start and / or the end of the Coupon Schedule, which does not fall into the Periodic Date Series. This is a working note from ongoing reviews. Terms for payment of Interest on a Bond, where this pays a fixed rate of interest. The formula for calculation of fixed interest amounts. Fixed interest payment amount due on each Interest Payment Date. This is derived from the Annual Coupon Rate. Terms setting out how variable rate interest is determined and paid. The formula for calculation of variable interest amounts. Term identifying the variable in the marketplace which is to form the variable component of the variable interest rate. This is specialized for specific kinds of parameter. Number of days from the Coupon Payment Date that the Coupon Rate is reset. This is a working note from ongoing reviews. A bond where the bond is based on the return on an equity over time i.e. the price and dividend payments i.e. the total return (similar to total return swaps). Schedule of itemised coupon payment dates. Formula for the determination of some variable factor which is then used in subsequent calculations. The result of such a formula is a parameter referred to by another formula. The scheduled date of the first regular coupon payment, that is the start of payments according to a regular repeating series of coupon periods, after any non standard (long or short) first coupon period in the schedule. A bond which pays a fixed rate of interest at regular intervals. The fixed coupon payable with the bond. The Fixed Interest amount which is the parameter of the Expression. This is the only parameter in this expression. Formula for Fixed Interest. How the Formula is expressed i.e. the Right Hand Side of the Formula. Expression of the value of a fixed interest amount. The parameter of the Expression which is the Fixed Interest amount. This is the only parameter in this expression. The percentage fixed amount of the Interest. Terms setting out the interest payments determination and dates for Flating Rate Note interest. The Interest Rate which is to be used as the Base in the Interest Calculation Formula. Number of days before the coupon refix date, when the value of the underlying base is to be taken from. Also known as Lookback. An amortizing security where the principal repayments are tied to some index or on a calculation over the life (period) of the bond. Has terms for payment of the principal. These link the principal amounts to some underlying index or interest rate. Terms setting out the interest payments determination and dates for Index Linked Security interest. The Interest Rate which is to be used as the Base in the Interest Calculation Formula Terms for payment of the principal. These link the principal amounts to some underlying index or interest rate. The underlying parameter which is used in the calculation of the principal repayment amount. This may be any market referential parameter, i.e. any interest rate or economic rate which is published in the marketplace. The term for calculation of the principal repayment. This takes the form of a formula. A bond where the principal amount is linked to an index. Terms setting out how interest is to be paid on the Inflation Bond. The inflation index used to determine the Principal Amount, via the principal amount determination terms. Terms setting out how principal is to be repaid on the Inflation Bond. These terms specifically define a variable payment based on the Factor in this instance. The factor is a numeric measure calculated from the Inflation Rate, used to determine the principal paydown amounts, interest amounts or both. Terms setting out how principal is determined on the Inflation Bond. Terms for the payment of interest on an Inflation Bond. A variable coupon to be paid on the Inflation Bond, if this is specified in the Interest Payment Terms. Whether the interest payable on the Inflation Bond is variable with reference to the Factor. If Yes, then the terms include an Inflation Bond Variable Coupon. If No, then the terms may be any coupon or set of coupons, by inheritance of this fact from the parent class of Bond Coupon Terms Set. Terms specifying how the principal amount on an Inflation Bond is to be paid down. The factor, calculated from the Inflation Rate, optionally used to determine the principal paydown amounts. The formula by which the inflation factor is determined for the bond. This is part of the formula terms. Whether the principal repayment is made with reference to the inflation rate via the Inflation Rate Factor calculated for the bond. The terms for payment of the coupon on an Inflation Bond in the event that that bond specifies variable coupon payments linked to the Factor. The factor, calculated from the Inflation Rate, from which the interest payments on the Inflation Bond are to be based. How the Formula is expressed i.e. the Right Hand Side of the Formula. The underlying which forms one of the parameters of the inflation factor formula. The formula by which the inflation factor is determined for the bond. This is part of the formula terms. The subject of the formula. The expression that makes up the inflation factor formula. The Left Hand Side of the Formula, giving what is being expressed in terms of the Right Hand Side. This is the Inflation Bond Factor. The inflation bond factor; this forms the subject of the inflation factor formula, i.e. this is what that formula is about. The argument of the Inflation Factor calculation formula, which is the inflation factor itself. The identity of the parameter which is the operand, which in this case is an inflation rate. Either an interest rate such as LIBOR or the interest on a Treasury Bill. The parameter is a debt instrument. This would typically be a Treasury Bill interest rate, but could in principal be any traded (and therefore quotable) debt security's rate of interest. The parameter is a reference rate of interest The scheduled date of the last regular coupon payment, that is the last of the payments that are made according to a regular repeating series of coupon periods, before any non standard (long or short) last coupon period in the schedule. A full schedule of dates and payments for a Mandatory Sinking Fund style of Call. Call Event which must occur on the scheduled date. Terms relating to a Mandatory Sinking Fund call of the issue. Schedule for the payments of the Sinking Funds amounts. REVIEW Yes indicates there is a Mandatory Sinking fund feature. A colloquial term for a term maturity, usually from a single family mortgage revenue issue with several term maturities, that will be the first to be called from a sinking fund into which all proceeds from prepayments of mortgages financed by the issue are deposited. The maturity's priority status under the call provisions means that it is likely to be redeemed in its entirety well before the stated maturity date. The issue of a set of Medium Term Notes. This consists of a number of MTNs to be issued at some time in the future with the terms registered in a pre-existing Program. The Medium Term Notes issued as part of the MTN program. The precise matiruty dates of those securities are defined at the time of the issue while the remaining terms are already defined in the program ahead of issue. Information about the Issuance of a Municipal Bond, which is maintained throughout the life of the Security. Designation given to a public purpose bond offering by the issuer if it reasonably expects to issue in the calendar year of such offering no more than $10 million par amount of bonds of the type required to be included in making such calculation under the Internal Revenue Code. When purchased by a commercial bank for its portfolio, the bank may receive an 80% tax deduction for the interest cost of carry for the issue. A bond that is bank qualified is also known as a qualified tax-exempt obligation. Purpose of the Issue of a Municipal Debt Security. The expression of the Coupon Schedule takes the form either of an explicit schedule of coupon dates or as a specification for when those dates should fall. Schedule is expressed as an explicit list of dates. Schedule is expressed as a schedule specification. These are terms whereby the issuer can recall part of the issue on scheduled dates but there is no specific amount defined for those dates. Consenus:Yes A formula for calculation of principal payments. The expression for the principal repayment formula. The expression of the formula by which the payment of principal is formally described. Schedule for payments of defined amounts of the Principal on a Debt Security. The specified future event whereby payment of a given Redemption amount is to be made. A set of coupon terms which remain the same through the life of the Bond. This is the default and is the case when there is not a Step Coupon or Conditional Coupon. The coupon specified in the coupon terms. Terms for the paydown of principal in a sinking fund type of amortizing security. The schedule for payment of scheduled amounts of principal on pre-defined dates. Whether the SF is mandatory or conditional on some event (No means conditional) Bonds where the amortizing is via a known and published schedule. Terms for the Amortization of the Principal on sinking fund. A schedule of dates and interest rates which take effect on those dates. At present these are assumed to always be ficxed interest rates, and are modeled as such. A coupon (interest payment) which rises to different fixed values at scheduled intervals. The schedule of dates and interest amounts applicable from those dates, forming part of the terms of the Stepped Coupon. The calendar date when the coupon stub period is scheduled to end. The length of the Stub Period as a temporal duration (a number of days). Length in days of the irregular Stub period. The Stub Period as a temporal duration. The calendar date when the coupon stub period is scheduled to start. Formula for the calculation of variable interest. A bond where the actual principal amount may vary, other than through paydown of the principal as amortization. Terms defining the Call options for a Zero Coupon or OID Bond. The details set out for each date in the Call Schedule. Terms for payment of Interest on a Bond, where this pays a zero rate of interest. Has no coupon term associated to it. The frequency to be used in the calculation of accruals. Supersedes the Coupon Payment Frequency. An amortizing security is one where the principal is paid off during the life of the bond by the issuer. Often this may be based on an index. Terms for the Amortization of the Principal on an Amortizing Security; the amortizing security terms and conditions. The amortizing security pays interest only and no principal over its life. In finance, a bond is a debt security, in which the authorized issuer owes the holders a debt and, depending on the terms of the bond, is obliged to pay interest (the coupon) and/or to repay the principal at a later date, termed maturity. It is a formal contract to repay borrowed money with interest at fixed intervals. A listing of the bond on an exchange or multilateral trading facility. Mechanism whereby an investor receives income from interest payments, which are usually made periodically. Issuance information specific to the Bond. Repayment terms for the Principal on a Bond. Call terms for bond by the issuer. Whether the issuer has the right to pay the security prior to maturity. Whether the interest amount is capitalised until maturity date or paid out at each interest payment date. The bond has a conversion feature enabling it to be converted into another instrument on maturity. A bond issue where the issue includes a Warrant attached. This need not be any specific type of bond. A Bond instrument which on maturity converts into an Equity instrument. Terms for the conversion of the Convertible Bond into an Equity instrument. These cover how, when and to what the Bond can be converted. The related Equity instrument into which the Bond can be converted. Bond is Convertible A debt security issued by a corporation, as opposed to those issued by a government or municipality. The issuer of the Corporate Bond, which is a Corporation or other commercial legal entity (company). A Company or Corporation, acting in the capacity of an Issuer. The identity of the Corporation which acts as an Issuer. A bond with a variable interest rate based on a published bank interest rate. The adjustments to the interest rate (coupon) are made periodically, usually on a quarterly or monthly basis, and are tied to a certain money-market index. Also known as a "floater". An investor receives income from coupon payments, which are usually made periodically. These are of a variable amount specified by some formula. The underlying parameter used in the formula is an interest rate such as the LIBOR interbank rate or a bank base rate. A government debt obligation (local or national) backed by the credit and taxing power of a country with very little risk of default. The issuer of the Government Bond, which is a government. A bond in which payment of income on the principal is related to a specific price index, such as the Consumer Price Index. A Medium Term Note is a Negotiable debt instrument offered under a program agreement through one or more dealers upon request of the Issuer. The Program defines the terms and conditions of the notes. An MTN issue is defined by the fact that the registration doesn't have a pre-defined maturity. A bond issued by a Municipality. The issuer of the Municipal Bond, which is a Municipality. Whether or not a municipal reasonably expects to issue in the calendar year of such offering no more than $10 million par amount of bonds of the type required to be included in making such calculation under the Internal Revenue Code. Issuance Information specific to the Municipal Bond. Whether legal opinion exists for municipal securities. Any bond with a variable interest rate. An investor receives income from coupon payments, which are usually made periodically. These are of a variable amount specified by some formula. The underlying parameter used in the formula can be any variable. A debt security that doesn't pay interest (a coupon) but is traded at a deep discount, rendering profit at maturity when the bond is redeemed for its full face value. Coupon Terms for a Zero Coupon Bond. These are that there is no Coupon. Call terms that are applicable to the Zero Coupon Bond. Federal Home Loan Mortgage Corporation. Government-chartered corporation which buys qualified mortgage loans from the financial institutions that originate them, securitizes the loans, and distributes the securities through the dealer community. The securities are not backed by the U.S. Government. The market value of these securities prior to maturity is not guaranteed and will fluctuate. From http://www.investorwords.com/1927/FHLMC.html Federal National Mortgage Association. A congressionally chartered corporation which buys mortgages on the secondary market, pools them and sells them as mortgage-backed securities to investors on the open market. Monthly principal and interest payments are guaranteed by FNMA but not by the U.S. Government. also called Fannie Mae. from http://www.investorwords.com/2031/FNMA.html A government-owned agency which buys mortgages from lending institutions, securitizes them, and then sells them to investors. Because the payments to investors are guaranteed by the full faith and credit of the U.S. Government, they return slightly less interest than other mortgage-backed securities. From http://www.investorwords.com/2184/GNMA.html Line Term type Term 1 Logic ALL Bond AND Traditional Warrant 2 Relationship fact selection 3 Relationship fact selection 4 Thing Bank Qualified Tax Exemption 5 Parent Is a 6 Simple fact Bank Qualified 7 Thing Bond Amortization Payment Terms Set 8 Parent Is a 9 Disjoint mutually exclusive 10 Disjoint mutually exclusive 11 Relationship fact Periodic Amortization Amount 12 Simple fact Principal Amortization Type 13 Simple fact Amortization Calculations Day ount Convention 14 Thing Bond Bullet Principal Repayment Terms Set 15 Parent Is a 16 Disjoint mutually exclusive 17 Thing Bond Call Terms Set 18 Parent Is a 19 Disjoint mutually exclusive 20 Simple fact Call Conditions 21 Relationship fact Premium 22 Relationship fact Lockout Period 23 Thing Bond Coupon Interest Terms Set 24 Parent Is a 25 Simple fact Special Record Date 26 Simple fact Annual Coupon Rate 27 Relationship fact Coupon Payment currency 28 Thing Bond Coupon Terms Set 29 Parent Is a 30 Relationship fact specifies 31 Thing Bond Issue Information 32 Parent Is a 33 Simple fact OID 34 Thing Bond Issue Prospectus 35 Parent Is a 36 Relationship fact describes 37 Thing Bond Offer Issue 38 Parent Is a 39 Relationship fact is issue of 40 Relationship fact described in 41 Thing Bond Offer Issue With Warrant 42 Parent Is a 43 Disjoint mutually exclusive 44 Relationship fact is issue of 45 Thing Bond Principal Repayment Terms Set 46 Parent Is a 47 Disjoint mutually exclusive 48 Thing Bond With Partial Call 49 Parent Is a 50 Relationship fact has call terms 51 Thing Bullet Bond 52 Parent Is a 53 Disjoint mutually exclusive 54 Relationship fact has repayment terms 55 Thing Call Date 56 Parent Is a 57 Thing Callable Convertible Bond 58 Parent Is a 59 Simple fact Callable 60 Thing Conditional Coupon Terms Set 61 Parent Is a 62 Disjoint mutually exclusive 63 Disjoint mutually exclusive 64 Relationship fact has term for one coupon 65 Thing Coupon Conditional Term 66 Parent Is a 67 Relationship fact specifies 68 Simple fact Condition 69 Thing Coupon Periodic Date Series 70 Parent Is a 71 Relationship fact regular period duration 72 Thing Coupon Regular Period 73 Parent Is a 74 Relationship fact regular period description 75 Relationship fact beginning 76 Relationship fact series end 77 Thing Coupon Regular Period Length 78 Parent Is a 79 Simple fact Regular Period Days 80 Thing Coupon Schedule Specification 81 Parent Is a 82 Relationship fact scheduled coupon payment 83 Relationship fact has stub 84 Relationship fact has periodic date series 85 Thing Coupon Stub Period 86 Parent Is a 87 Relationship fact stub length 88 Relationship fact stub start 89 Relationship fact stub end 90 Thing Credit Curve To Use 91 Parent Is a 92 Thing Debt Fixed Coupon Terms Set 93 Parent Is a 94 Disjoint mutually exclusive 95 Relationship fact has formula term 96 Simple fact Fixed Coupon Amount 97 Thing Debt Variable Coupon Terms Set 98 Parent Is a 99 Disjoint mutually exclusive 100 Relationship fact has formula term 101 Relationship fact specifies base rate 102 Simple fact Reset Date Offset Days 103 Thing Discount Curve To Use 104 Parent Is a 105 Thing Equity Linked Bond 106 Parent Is a 107 Thing Explicit Coupon Schedule Listing 108 Parent Is a 109 Relationship fact specifies 110 Thing Factor Calculation Formula 111 Parent Is a 112 Thing First Regular Coupon Date 113 Parent Is a 114 Thing Fixed Coupon Bond 115 Parent Is a 116 Disjoint mutually exclusive 117 Relationship fact has coupon 118 Thing Fixed Interest Amount 119 Parent Is a 120 Thing Fixed Interest Calculation Formula 121 Parent Is a 122 Relationship fact expression 123 Thing Fixed Interest Expression 124 Parent Is a 125 Relationship fact has parameter 126 Simple fact Interest Amount 127 Thing FRN Terms Set 128 Parent Is a 129 Disjoint mutually exclusive 130 Disjoint mutually exclusive 131 Relationship fact specifies base rate 132 Simple fact Base offset business days 133 Thing Index Amortizing Bond 134 Parent Is a 135 Disjoint mutually exclusive 136 Relationship fact has principal repayment terms 137 Thing Index Linked Coupon Terms Set 138 Parent Is a 139 Disjoint mutually exclusive 140 Disjoint mutually exclusive 141 Relationship fact specifies base rate 142 Thing Index Linked Principal Determination Terms Set 143 Parent Is a 144 Relationship fact specifies index parameter 145 Relationship fact has formula term 146 Thing Inflation Bond 147 Parent Is a 148 Relationship fact has interest payment terms 149 Relationship fact has principal based on 150 Relationship fact has principal repayment terms 151 Relationship fact has factor 152 Relationship fact has principal repayment terms 153 Thing Inflation Bond Interest Payment Terms Set 154 Parent Is a 155 Relationship fact specifies coupon 156 Relationship fact Pays Variable Coupon 157 Thing Inflation Bond Principal Repayment Terms Set 158 Parent Is a 159 Relationship fact refers to 160 Relationship fact sets out formula 161 Simple fact Pegged To Inflation Rate 162 Thing Inflation Bond Variable Coupon Terms Set 163 Parent Is a 164 Disjoint mutually exclusive 165 Disjoint mutually exclusive 166 Relationship fact refers to 167 Thing Inflation Factor Expression 168 Parent Is a 169 Relationship fact underlying parameter 170 Thing Inflation Factor Formula 171 Parent Is a 172 Relationship fact has subject 173 Relationship fact expression 174 Thing Inflation Factor Subject 175 Parent Is a 176 Relationship fact identity 177 Thing Inflation Factor Underlying 178 Parent Is a 179 Relationship fact operand is 180 Logic Interest Reference Rate OR Tradable Debt Instrument 181 Relationship fact is instrument rate 182 Relationship fact is reference rate 183 Thing Last Regular Coupon Date 184 Parent Is a 185 Thing Mandatory Sinking Fund Schedule Listing 186 Parent Is a 187 Relationship fact schedules mandatory event 188 Thing Mandatory Sinking Fund Terms 189 Parent Is a 190 Relationship fact includes 191 Simple fact Mandatory Sinking Fund 192 Simple fact Super Sinker 193 Thing MTN Issue 194 Parent Is a 195 Disjoint mutually exclusive 196 Relationship fact is issue of 197 Thing Municipal Bond Issue Information 198 Parent Is a 199 Simple fact Bank Qualified 200 Simple fact Debt Issuance Purpose 201 Logic ONE OF Coupon Schedule Specification OR Explicit Coupon Schedule Listing 202 Relationship fact selection 203 Relationship fact selection 204 Thing Partial Call Feature 205 Parent Is a 206 Thing Principal Payment Calculation Formula 207 Parent Is a 208 Relationship fact has expression 209 Thing Principal Payment Formula Expression 210 Parent Is a 211 Thing Redemption Schedule Listing 212 Parent Is a 213 Relationship fact schedules 214 Thing Single Coupon Terms Set 215 Parent Is a 216 Disjoint mutually exclusive 217 Disjoint mutually exclusive 218 Relationship fact specifies 219 Thing Sinking Fund Amortization Terms Set 220 Parent Is a 221 Relationship fact includes 222 Simple fact Mandatory 223 Thing Sinking Fund Bond 224 Parent Is a 225 Disjoint mutually exclusive 226 Relationship fact has principal amortizaton terms 227 Thing Step Schedule Listing 228 Parent Is a 229 Relationship fact schedules 230 Thing Stepped Coupon Terms Set 231 Parent Is a 232 Disjoint mutually exclusive 233 Disjoint mutually exclusive 234 Relationship fact has schedule 235 Thing Stub End Date 236 Parent Is a 237 Thing Stub Length 238 Parent Is a 239 Simple fact Stub Days 240 Thing Stub Period 241 Parent Is a 242 Relationship fact has length 243 Thing Stub Start Date 244 Parent Is a 245 Thing Variable Interest Calculation Formula 246 Parent Is a 247 Thing Variable Principal Bond 248 Parent Is a 249 Relationship fact sets out terms for 250 Thing Zero Coupon and OID Bond Call Terms 251 Parent Is a 252 Relationship fact includes basis for each date 253 Thing Zero Coupon Terms Set 254 Parent Is a 255 Simple fact Fixed Coupon Amount 256 Simple fact Coupon Frequency For Accrual alculations 257 Thing Amortizing Security 258 Parent Is a 259 Disjoint mutually exclusive 260 Relationship fact has principal amortization terms 261 Simple fact Notional 262 Thing Bond 263 Parent Is a 264 Relationship fact has listing 265 Relationship fact has coupon terms 266 Relationship fact has price 267 Relationship fact has issuance information 268 Relationship fact has principal repayment terms 269 Relationship fact has call terms 270 Simple fact Callable 271 Simple fact Capitalized Interest 272 Simple fact Convertible 273 Thing Bond with Warrant 274 Parent Is a 275 Thing Convertible Bond 276 Parent Is a 277 Relationship fact has conversion terms 278 Relationship fact convertible into 279 Simple fact Convertible 280 Thing Corporate Bond 281 Parent Is a 282 Disjoint mutually exclusive 283 Disjoint mutually exclusive 284 Relationship fact issuer 285 Thing Corporate Bond Issuer 286 Parent Is a 287 Relationship fact identified as 288 Thing Floating Rate Note 289 Parent Is a 290 Relationship fact has coupon 291 Thing Government Bond 292 Parent Is a 293 Disjoint mutually exclusive 294 Disjoint mutually exclusive 295 Relationship fact issuer 296 Thing Index Linked Security 297 Parent Is a 298 Relationship fact is based on 299 Thing Medium Term Note 300 Parent Is a 301 Thing Municipal Bond 302 Parent Is a 303 Disjoint mutually exclusive 304 Disjoint mutually exclusive 305 Relationship fact issuer 306 Relationship fact bank qualified status 307 Relationship fact has issuance information 308 Simple fact Simple fact 309 Thing Variable Coupon Bond 310 Parent Is a 311 Disjoint mutually exclusive 312 Relationship fact has coupon 313 Thing Zero Coupon Bond 314 Parent Is a 315 Relationship fact has zero coupon terms 316 Relationship fact has zero coupon call terms 317 Individual FHLMC :Government Mortgage Agency 318 Type of type of 319 Individual FNMA :Government Mortgage Agency 320 Type of type of 321 Individual GNMA :Government Mortgage Agency 322 Type of type of Definition Synonym Simple Type One or more series of Bonds and a Warrant which is issued with the bond. The Warrant which forms part of the Issue. The Bond(s) which make up the issue. Whether or not a municipal reasonably expects to issue in the calendar year of such offering no more than $10 million par amount of bonds of the type required to be included in making such calculation under the Internal Revenue Code. Whether the bond is classed as being Bank Qualified. yes/no Terms for payment of partial amounts of the Principal during the life of the Debt Security. The monetary amount of each amortization payment in the Amortization Schedule. The type of principal payments applicable to this security. Amortization Type Day Count Basis Terms for payment of Principal as a single amount of payment of the full Principal. The terms and conditions in which a bond can be redeemed by the issuer prior to its maturity. Usually a premium is paid to the bond owner when the bond is called. The conditions under which a bond can be called back by the issuer. text A premium paid to the bond owner when the bond is called. The lockout period refers to the amount of time for which a callable security cannot be called and only interest coupon payments are received by the security holder. For example, with a 10-year noncall 3- year ("10nc3") debt security, the security cannot be called for the first three years. Terms for payment of Interest on a Bond. These include terms for Coupon Terms. determining interest amounts, and terms for dates on which those amounts are to be paid. The record date associated with an odd first interest payment date that date occurs before the start of the normal accrual cycle. Original annual rate of interest payable to the lender as expressed as a percentage percentage of principal as stated in the bond's offering documents. The currency in which interest payment is to be made. A set of contractual terms defining the interest payments for a coupon of a bond. The schedule for payments of bond interest. Information about the Issuance of a Bond, which is maintained throughout the life of the Security. Discount from par value at the time a bond or other debt instrument is percentage issued. The prospectus for the bond issue describes the terms of the issue and each of the instruments included in the bond issue. The Prospectus for a bond issue describes the Bond Offer Issue, including facts about the issue itself such as closing dates, and anticipated facts about the securities that will form part of that issue, An Issue of one or more Bonds, as all or part of an Offering of these bonds to the market. The bond(s) which make up the issue. Has Prospectus describing the terms of the issue and each of the instruments included in the bond issue. A bond issue where the issue includes a Warrant attached. The instruments which make up the issue, namely one or more series of Bonds and a Warrant which is issued with the bond. Terms for the repayment of the Principal on a Bond security. Bond Repayment Terms. A bond with a feature whereby the issue can be partially called for amounts that are at the discretion of the issuer. Feature of the bond whereby partial call is possible. A bond where the principal is paid off in a single payment on the scheduled maturity date. Has terms for repayment of the principal. This is paid in one single payment. Date on which the instrument may be called. A Convertible Bond which is also callable. yes/no Coupon where the coupon rate or the coupon terms may change according to some pre-defined trigger, for example when a given published interest rate passes a defined threshold. By definition, a se tof terms setting out conditional coupon payments and a set of terms defining in advance what interest rates take effect on given dates, are mutually exclusibe, that is a set of terms cannot embody both of these functions. The term in the conditional coupon terms which matches one set of coupon terms (fixed rate or variable coupon) with one condition. When the condition is true, that coupon will be payable. A term in the conditional coupon terms which matches one set of coupon terms (fixed rate or variable coupon) with one condition. The bond coupon defined in this conditional term. When the condition described in this term is true, this Bond Coupon is applied to the Bond. The condition under which the given coupon is payable. This is stated text as text. Periodic dates on which Interest Payments are made. The regular periodic component of a coupon schedule. Length of a regular periodic component of a coupon schedule. Number of days in coupon period in the series. whole number Formal specification of the Schedule for regular payment of Coupon Amounts. The specified future event whereby payment of a given Coupon interest amount is to be made. Irregular Coupon Period at the start and / or the end of the Coupon Schedule, which does not fall into the Periodic Date Series. Periodic regular Coupon payments in the Coupon Schedule. Irregular Coupon Period at the start and / or the end of the Coupon Schedule, which does not fall into the Periodic Date Series. This is a working note from ongoing reviews. Terms for payment of Interest on a Bond, where this pays a fixed rate of interest. The formula for calculation of fixed interest amounts. Fixed interest payment amount due on each Interest Payment Date. percentage This is derived from the Annual Coupon Rate. Terms setting out how variable rate interest is determined and paid. The formula for calculation of variable interest amounts. Term identifying the variable in the marketplace which is to form the variable component of the variable interest rate. This is specialized for specific kinds of parameter. Number of days from the Coupon Payment Date that the Coupon Rate whole number is reset. This is a working note from ongoing reviews. A bond where the bond is based on the return on an equity over time i.e. the price and dividend payments i.e. the total return (similar to total return swaps). Schedule of itemised coupon payment dates. Formula for the determination of some variable factor which is then used in subsequent calculations. The result of such a formula is a parameter referred to by another formula. The scheduled date of the first regular coupon payment, that is the start of payments according to a regular repeating series of coupon periods, after any non standard (long or short) first coupon period in the schedule. A bond which pays a fixed rate of interest at regular intervals. The fixed coupon payable with the bond. The Fixed Interest amount which is the parameter of the Expression. This is the only parameter in this expression. Formula for Fixed Interest. How the Formula is expressed i.e. the Right Hand Side of the Formula. Expression of the value of a fixed interest amount. The parameter of the Expression which is the Fixed Interest amount. This is the only parameter in this expression. The percentage fixed amount of the Interest. percentage Terms setting out the interest payments determination and dates for Flating Rate Note interest. The Interest Rate which is to be used as the Base in the Interest Calculation Formula. Number of days before the coupon refix date, when the value of the whole number underlying base is to be taken from. Also known as Lookback. An amortizing security where the principal repayments are tied to some index or on a calculation over the life (period) of the bond. Has terms for payment of the principal. These link the principal amounts to some underlying index or interest rate. Terms setting out the interest payments determination and dates for Index Linked Security interest. The Interest Rate which is to be used as the Base in the Interest Calculation Formula Terms for payment of the principal. These link the principal amounts to some underlying index or interest rate. The underlying parameter which is used in the calculation of the principal repayment amount. This may be any market referential parameter, i.e. any interest rate or economic rate which is published in the marketplace. The term for calculation of the principal repayment. This takes the form of a formula. A bond where the principal amount is linked to an index. Terms setting out how interest is to be paid on the Inflation Bond. The inflation index used to determine the Principal Amount, via the principal amount determination terms. Terms setting out how principal is to be repaid on the Inflation Bond. These terms specifically define a variable payment based on the Factor in this instance. The factor is a numeric measure calculated from the Inflation Rate, used to determine the principal paydown amounts, interest amounts or both. Terms setting out how principal is determined on the Inflation Bond. Terms for the payment of interest on an Inflation Bond. A variable coupon to be paid on the Inflation Bond, if this is specified in the Interest Payment Terms. Whether the interest payable on the Inflation Bond is variable with reference to the Factor. If Yes, then the terms include an Inflation Bond Variable Coupon. If No, then the terms may be any coupon or set of coupons, by inheritance of this fact from the parent class of Bond Coupon Terms Set. Terms specifying how the principal amount on an Inflation Bond is to be paid down. The factor, calculated from the Inflation Rate, optionally used to determine the principal paydown amounts. The formula by which the inflation factor is determined for the bond. This is part of the formula terms. Whether the principal repayment is made with reference to the inflation yes/no rate via the Inflation Rate Factor calculated for the bond. The terms for payment of the coupon on an Inflation Bond in the event that that bond specifies variable coupon payments linked to the Factor. The factor, calculated from the Inflation Rate, from which the interest payments on the Inflation Bond are to be based. How the Formula is expressed i.e. the Right Hand Side of the Formula. The underlying which forms one of the parameters of the inflation factor formula. The formula by which the inflation factor is determined for the bond. This is part of the formula terms. The subject of the formula. The expression that makes up the inflation factor formula. The Left Hand Side of the Formula, giving what is being expressed in terms of the Right Hand Side. This is the Inflation Bond Factor. The inflation bond factor; this forms the subject of the inflation factor formula, i.e. this is what that formula is about. The argument of the Inflation Factor calculation formula, which is the inflation factor itself. The identity of the parameter which is the operand, which in this case is an inflation rate. Either an interest rate such as LIBOR or the interest on a Treasury Bill. The parameter is a debt instrument. This would typically be a Treasury Bill interest rate, but could in principal be any traded (and therefore quotable) debt security's rate of interest. The parameter is a reference rate of interest The scheduled date of the last regular coupon payment, that is the last of the payments that are made according to a regular repeating series of coupon periods, before any non standard (long or short) last coupon period in the schedule. A full schedule of dates and payments for a Mandatory Sinking Fund style of Call. Call Event which must occur on the scheduled date. Terms relating to a Mandatory Sinking Fund call of the issue. Schedule for the payments of the Sinking Funds amounts. REVIEW Yes indicates there is a Mandatory Sinking fund feature. yes/no A colloquial term for a term maturity, usually from a single family yes/no mortgage revenue issue with several term maturities, that will be the first to be called from a sinking fund into which all proceeds from prepayments of mortgages financed by the issue are deposited. The maturity's priority status under the call provisions means that it is likely to be redeemed in its entirety well before the stated maturity date. The issue of a set of Medium Term Notes. This consists of a number of MTNs to be issued at some time in the future with the terms registered in a pre-existing Program. The Medium Term Notes issued as part of the MTN program. The precise matiruty dates of those securities are defined at the time of the issue while the remaining terms are already defined in the program ahead of issue. Information about the Issuance of a Municipal Bond, which is maintained throughout the life of the Security. Designation given to a public purpose bond offering by the issuer if it yes/no reasonably expects to issue in the calendar year of such offering no more than $10 million par amount of bonds of the type required to be included in making such calculation under the Internal Revenue Code. When purchased by a commercial bank for its portfolio, the bank may receive an 80% tax deduction for the interest cost of carry for the issue. A bond that is bank qualified is also known as a qualified tax- exempt obligation. Purpose of the Issue of a Municipal Debt Security. text The expression of the Coupon Schedule takes the form either of an explicit schedule of coupon dates or as a specification for when those dates should fall. Schedule is expressed as an explicit list of dates. Schedule is expressed as a schedule specification. These are terms whereby the issuer can recall part of the issue on scheduled dates but there is no specific amount defined for those dates. Consenus:Yes A formula for calculation of principal payments. The expression for the principal repayment formula. The expression of the formula by which the payment of principal is formally described. Schedule for payments of defined amounts of the Principal on a Debt Security. The specified future event whereby payment of a given Redemption amount is to be made. A set of coupon terms which remain the same through the life of the Bond. This is the default and is the case when there is not a Step Coupon or Conditional Coupon. The coupon specified in the coupon terms. Terms for the paydown of principal in a sinking fund type of amortizing security. The schedule for payment of scheduled amounts of principal on pre- defined dates. Whether the SF is mandatory or conditional on some event (No means yes/no conditional) Bonds where the amortizing is via a known and published schedule. Terms for the Amortization of the Principal on sinking fund. A schedule of dates and interest rates which take effect on those dates. At present these are assumed to always be ficxed interest rates, and are modeled as such. A coupon (interest payment) which rises to different fixed values at scheduled intervals. By definition, a se tof terms setting out conditional coupon payments and a set of terms defining in advance what interest rates take effect on given dates, are mutually exclusibe, that is a set of terms cannot embody both of these functions. The schedule of dates and interest amounts applicable from those dates, forming part of the terms of the Stepped Coupon. The calendar date when the coupon stub period is scheduled to end. The length of the Stub Period as a temporal duration (a number of days). Length in days of the irregular Stub period. whole number The Stub Period as a temporal duration. The calendar date when the coupon stub period is scheduled to start. Formula for the calculation of variable interest. A bond where the actual principal amount may vary, other than through paydown of the principal as amortization. Terms defining the Call options for a Zero Coupon or OID Bond. The details set out for each date in the Call Schedule. Terms for payment of Interest on a Bond, where this pays a zero rate of interest. Has no coupon term associated to it. percentage The frequency to be used in the calculation of accruals. Supersedes Frequency the Coupon Payment Frequency. An amortizing security is one where the principal is paid off during the life of the bond by the issuer. Often this may be based on an index. Terms for the Amortization of the Principal on an Amortizing Security; the amortizing security terms and conditions. The amortizing security pays interest only and no principal over its life. yes/no In finance, a bond is a debt security, in which the authorized issuer owes the holders a debt and, depending on the terms of the bond, is obliged to pay interest (the coupon) and/or to repay the principal at a later date, termed maturity. It is a formal contract to repay borrowed money with interest at fixed intervals. A Bond is a kind of tradable debt instrument. A listing of the bond on an exchange or multilateral trading facility. Mechanism whereby an investor receives income from interest payments, which are usually made periodically. Issuance information specific to the Bond. Repayment terms for the Principal on a Bond. Call terms for bond by the issuer. Whether the issuer has the right to pay the security prior to maturity. yes/no Whether the interest amount is capitalised until maturity date or paid yes/no out at each interest payment date. The bond has a conversion feature enabling it to be converted into yes/no another instrument on maturity. A bond issue where the issue includes a Warrant attached. This need not be any specific type of bond. A Bond instrument which on maturity converts into an Equity instrument. Terms for the conversion of the Convertible Bond into an Equity instrument. These cover how, when and to what the Bond can be converted. The related Equity instrument into which the Bond can be converted. Bond is Convertible yes/no A debt security issued by a corporation, as opposed to those issued by a government or municipality. The issuer of the Corporate Bond, which is a Corporation or other commercial legal entity (company). A Company or Corporation, acting in the capacity of an Issuer. The identity of the Corporation which acts as an Issuer. A bond with a variable interest rate based on a published bank interest rate. The adjustments to the interest rate (coupon) are made periodically, usually on a quarterly or monthly basis, and are tied to a certain money-market index. Also known as a "floater". An investor receives income from coupon payments, which are usually made periodically. These are of a variable amount specified by some formula. The underlying parameter used in the formula is an interest rate such as the LIBOR interbank rate or a bank base rate. A government debt obligation (local or national) backed by the credit and taxing power of a country with very little risk of default. The issuer of the Government Bond, which is a government. A bond in which payment of income on the principal is related to a specific price index, such as the Consumer Price Index. A Medium Term Note is a Negotiable debt instrument offered under a program agreement through one or more dealers upon request of the Issuer. The Program defines the terms and conditions of the notes. An MTN issue is defined by the fact that the registration doesn't have a pre-defined maturity. A MTN is a kind of Bond. A bond issued by a Municipality. The issuer of the Municipal Bond, which is a Municipality. Whether or not a municipal reasonably expects to issue in the calendar year of such offering no more than $10 million par amount of bonds of the type required to be included in making such calculation under the Internal Revenue Code. Issuance Information specific to the Municipal Bond. Whether legal opinion exists for municipal securities. yes/no Any bond with a variable interest rate. An investor receives income from coupon payments, which are usually made periodically. These are of a variable amount specified by some formula. The underlying parameter used in the formula can be any variable. A debt security that doesn't pay interest (a coupon) but is traded at a deep discount, rendering profit at maturity when the bond is redeemed for its full face value. Coupon Terms for a Zero Coupon Bond. These are that there is no Coupon. Call terms that are applicable to the Zero Coupon Bond. Federal Home Loan Mortgage Corporation. Government-chartered corporation which buys qualified mortgage loans from the financial institutions that originate them, securitizes the loans, and distributes the securities through the dealer community. The securities are not backed by the U.S. Government. The market value of these securities prior to maturity is not guaranteed and will fluctuate. Federal National Mortgage Association. A congressionally chartered corporation which buys mortgages on the secondary market, pools them and sells them as mortgage-backed securities to investors on the open market. Monthly principal and interest payments are guaranteed by FNMA but not by the U.S. Government. also called Fannie Mae. A government-owned agency which buys mortgages from lending institutions, securitizes them, and then sells them to investors. Because the payments to investors are guaranteed by the full faith and credit of the U.S. Government, they return slightly less interest than other mortgage-backed securities. Related Thing Multiples Business Justification Traditional Warrant Bond one or more When purchased by a commercial bank for its portfolio, the bank may receive an 80% tax deduction for the interest cost of carry for the issue. A bond that is bank qualified is also known as a Qualified Tax-exempt Obligation. This is a specifically US term. Security Tax Treatment US Term. Information set by the issuer of a public purpose bond offering if it reasonably expects to issue in the calendar year of such offering no more than $10 million par amount of bonds of the type required to be included in making such calculation under the Internal Revenue Code. When purchased by a commercial bank for its portfolio, the bank may receive an 80% tax deduction for the interest cost of carry for the issue. A bond that is bank qualified is also known as a Qualified Tax-exempt Obligation. Bond Principal Repayment Terms Set Bond Bullet Principal Repayment Terms Set Bond Call Terms Set Monetary Amount NOTE: Does not cover variable Amortization amounts, if these exist. REVIEW: whether all the listed entries apply to Amortizing Security specifically, as part of Amortization terms. may be Bond Principal Repayment Terms Set Bond Amortization Payment Terms Set Also known as a "redeemable bond". The main cause of a call is a decline in interest rates. If interest rates have declined since a company first issued the bonds, it will likely want to refinance this debt at a lower rate of interest. The company will call its current bonds and reissue them at a lower rate of interest. The maturity date of a callable debt instrument is the latest and final possible date at which the security will be retired and principal will be redeemed at par. Debt Call Terms Set Bond Amortization Payment Terms Set Monetary Amount may be Date Period For stepped coupons, several set of this information may exist, with these coming into force. Debt Security Interest Payment Terms Set REVIEW how "Associated". Original DTCC definition gives more meaning: The record date on which the holders of the security are established to make an interest payment for the period after the issue and before the start of normal interest accrual cycle. Currency Contract Terms Set Coupon Schedule Debt Instrument Issue Information Originally this term appeared to apply to all securities. Review notes from SME Review session: Defined for: Bonds; For equity incentives you tend to get shares rather than an OID. OID is a taxation advantage so this gives an incentive for investors as it gives them more yield up front. Also think about zero coupon bonds in this context. ACTION: Move to Bonds. This action now implemented. Debt Issue Prospectus Bond Offer Issue Anticipated facts might include expected issue price, yields, pool parameters as appropriate for the type of debt instrument being issued. Debt Offer Issue Bond one or more Bond Issue Prospectus ISO 10962 CFI definition is A bond that is issued together with one or more warrant(s) attached as part of the offer, the warrant(s) granting the holder the right to purchase a designated security, often the common stock of the issuer of the debt, at a specified price. Review notes: This need not be any specific type of bond. The warrant is used as a sweetener to encourage people to subscribe to a new bond issue. The Bond and the Warrant trade together as a unit (called "Bond Unit"). Bond Offer Issue Bond Offer Issue With Warrant ALL Bond AND Traditional Warrant Tradable Debt Security Redemption Terms Debt Call Terms Set Bond Partial Call Feature Bond Amortizing Security Bond Bullet Principal Repayment Terms Set Scheduled Event Date Convertible Bond yes Bond Coupon Terms Set Single Coupon Terms Set Stepped Coupon Terms Set Coupon Conditional Term Contract Term Bond Coupon Interest Terms one or Set more Periodic Date Series Coupon Regular Period Known Duration Coupon Regular Period Length First Regular Coupon Date Last Regular Coupon Date Duration Description in Calendar Days (from Algo review Oct 09) May need to add information about at which stage in the process you have received the information about the date e.g. whether the date you are looking at has been rolled back or needs to be rolled back. CONTEXT: add this detail in the context of trading or other consumption of data. Schedule Specification Coupon Payment Coupon Stub Period may be some Coupon Periodic Date Series Date Period Stub Period Stub Start Date Stub End Date Curve To Use Bond Coupon Interest Terms Set Debt Variable Coupon Terms Set Fixed Interest Calculation This is a restricted sub-type of the more general formula for Formula specifying any interest rate (fixed or variable). Bond Coupon Interest Terms Set Debt Fixed Coupon Terms Set Variable Interest Calculation This is derived from the more general formula for specifying Formula any interest rate (fixed or variable). No new terms are added as the general (parent) formula has all the terms defined for variable coupon payments. Market Referential Parameter Curve To Use Variable Coupon Bond Explicit Schedule Listing Scheduled Coupon Payment Examples include the formula for determining the Factor for an Inflation Bond, which may then be used in calculation of interest payments, principal repayments or both. It is referred ot separately and may be determined by a different party to the party which determines the factor itself. Conensus:Review Formula Contractually Determined Date Bond Variable Coupon Bond Bond Fixed Coupon 1 This duplicates the simple fact "Interest Amount" in the Fixed Interest expression and is essentially redundant. It is included only to show how the parameter relationship for Interst Calculation Expression is specialized (and thereby overridden) for the Fixed Interest Expression. Margin This limits the more general interest calculation formula, for fixed interest rates. Alternatively this formula can be ignored and the interest rate specified directly as a value in the Interest Terms. It is provided here for completeness. Interest Calculation Formula Fixed Interest Expression This is a numerical amount only. The operand Base does not exist and the Margin operand is over-ridden by the single property Interest Amount here, i.e. this sub-class of Interest Calculation Expression restricts those operands by not having them (this cannot be shown graphically). Interest Calculation Expression Fixed Interest Amount This duplicates the simple fact "Interest Amount" in the Fixed Interest expression and is essentially redundant. It is included only to show how the parameter relationship for Interst Calculation Expression is specialized (and thereby overridden) for the Fixed Interest Expression. Debt Variable Coupon Terms Set Index Linked Coupon Terms Set Inflation Bond Variable Coupon Terms Set Interest Reference Rate OR Tradable Debt Instrument Index in this sense means any kind of parameter in the market Amortizing Security Sinking Fund Bond Index Linked Principal Determination Terms Set Debt Variable Coupon Terms Set FRN Terms Set Inflation Bond Variable Coupon Terms Set Economic Rate Terms are linked to the calculation of the factor - see definition for Inflation Bond. This has been renamed from Principal Repayment Terms to Principal Determination Terms, since further review indicates a term whereby the principal amount itself varies, and this is borne out by the notes made at the original review, where this was mislabeled. Bond Amortization Payment Terms Set Inflation Rate Principal Payment Calculation Formula Refers to an Inflation Index. This is used to define the factor or multiplier for the bond, that is the factor that you muliply the bond by. How this works is that you you take the inflation rate when the security was issued, and the inflation rate at the present. The difference betwen these becomes the Factor, e.g. 100% -> 101% gives 1% so for example for a $1000 issue - calculate the principlal on which the interest is paid AND the principal from the point of view of how the principal is repaid. Some inflation bonds only do this on interest, some only on interest, but most apply it to the principal and interest. Coupon interest calculated based on the adjusted amoutn of the bond. so a fixed coupon rate is multipled by e.g. 1010 in the example above. Variations e.g. Italy - daily published factor published for that bond, whereas other calculate based on underlying index. Typically a CPI or a statistical number generated by the govt. typically a wagging three month index. See UK bonds on this. US and Jap ones - look at inflation rate 3 months prior. Unlike an Amortizing Security this prinipal value of the bond is increasing, whereas for and Amortizing, the principal is decreasing. In Canada, these are also referred to as "real return bonds". Additional review with OTPP May Index Linked Security Inflation Bond Interest These terms define either a variable coupon based on the Payment Terms Set Factor, or (less typically) the payment of fixed coupon amounts. Inflation Rate Note this part of the model has been updated during one on one reviews with OTPP May 2010 but this term already defined July 2009, possibly redundant now that contractual terms redefined from determination of amortization payments, to determination of principal amount itself. Inflation Bond Principal Repayment Terms Set Inflation Bond Factor Index Linked Principal may be These terms define either a variable payment based on the Determination Terms Set some Factor, or (less typically) the payment of fixed principal amounts. Further research indicates that it is the principal amount that varies in this type of instrument, regardless of whether the principal repayments themselves are amortized or fixed, either of which would be covered by terms elsewhere (the variable principal type of bond is not mutually exclusive with any classification of bonds by proincipal payment type, so these may be amortizing or bullet repayment). Description updated following OTPP review and re-review of original review notes. These may for example specify that the interest payments are by way of coupone calculated with reference to the inflation rate that is referenced for that bond, or they may not (for example they may specify a fixed coupon amount). Therefore these terms may specify any potential interest payment arrangement used on bonds. Bond Coupon Terms Set Inflation Bond Variable may be If the terms do not specify a variable coupon amount, then Coupon some the coupon may be any type of coupon, as defined in the parent set of terms for all bond coupon terms. yes/no This is typically but not necessarily with reference to the Inflation rate that is referred to for this bond. Further model action: identify and model terms for the case where the bond principal repayments are not pegged to an inflation rate. Index Linked Principal Determination Terms Set Inflation Bond Factor may be some Inflation Factor Formula This is not referred to in the event that the inflation bond interest payment terms specify payment of a fixed coupon. Debt Variable Coupon Terms Set FRN Terms Set Index Linked Coupon Terms Set Inflation Bond Factor 1 Formula Expression Inflation Factor Underlying Factor Calculation Formula Inflation Factor Subject Inflation Factor Expression Formula Subject Inflation Bond Factor Formula Argument Inflation Rate Review: Examples to date cite treasury bill only, but in principle there could be any debt instrument or any short term debt used as a reference rate? Debt Instrument Reference Rate Interest Reference Rate Contractually Determined Date Explicit Schedule Listing Call Of Issue one or more Sinking Fund Amortization Terms Set Mandatory Sinking Fund Schedule yes Bond Offer Issue Bond Offer Issue With Warrant Medium Term Note Bond Issue Information Explicit Coupon Schedule Listing Coupon Schedule Specification Bond Call Terms Set Formula Principal Payment Formula Action: Determine what these can be at the next review and Expression model accordingly. For example, presume this is a base parameter plus a margin percentage, similar to interest payment calculation formula expressions. Determine what these can be at the next review and model accordingly. For example, presume this is a base parameter plus a margin percentage, similar to interest payment calculation formula expressions. Formula Expression Terms for dates and amounts to be added. Explicit Schedule Listing Redemption Payment one or more Bond Coupon Terms Set Conditional Coupon Terms Set Stepped Coupon Terms Set Bond Coupon Interest Terms Set At present there is only a schedule, there should be other terms for what happens on the scheduled dates. Sinking fund may be bullet e.g. x% over year for y years. SF may be mandatory or contingent on some other economic event. Bond Amortization Payment Terms Set Redemption Schedule Amortizing Security Index Amortizing Bond Sinking Fund Amortization Terms Set Explicit Schedule Listing Step Event Bond Coupon Terms Set Single Coupon Terms Set Conditional Coupon Terms Set Step Schedule Known Date Duration Description in Calendar Days Known Duration Stub Length Known Date This inherits all the facts about Interest Calculation Formula without alteration. Interest Calculation Formula This would typically be a bond where the principal is not a fixed amount but is varied according to some index, that is the actual amount of the debt itself varies, independently of whether the principal is amortized or not, and regardless of whether the coupon is fixed or variable (though a coupon of a fixed percentage would translate to a variable monetary amount). Bond Variable Debt Principal Fannie Mae also issues zero-coupon callable debt securities. Zero-coupon notes are debt securities on which no coupon interest is paid to the investor. Rather, the security is purchased at a discounted dollar price and matures at par. If the option on a callable zero-coupon security is exercised, it is redeemed at a higher dollar price than the original issue price. The yield for a callable zero- coupon security is based on the difference between the original discounted price and the principal payment at the call date. Bond Call Terms Set Zero Coupon Bond Call Debt Fixed Coupon Terms Set 0 Amortizing means there is a basis change to the principal value. Typically the principal basis of the bond is decreasing. Further Notes The different between this and callable bonds is you are spreading that payoff across every bond holder. Call bonds are paid off via a lottery. Securitization is a financing process in which a corporate entity moves assets, to an ostensibly bankruptcy-remote / low risk vehicle, in order to obtain lower interest rates from potential lenders. This is obtained because the assets cannot be seized in a bankruptcy proceeding, the risk is less for lenders and they are willing to offer a lower rate. Bond Bullet Bond Bond Amortization Payment Terms Set Tradable Debt Instrument Bond Listing Bond Coupon Terms Set one or The coupon terms specify whether there is a single type of more coupon, a schedule of stepped coupons or a conditional coupon set. Debt Security Price Bond Issue Information Bond Principal Repayment FIBIM has link directly to Redemption Schedule. Terms Set Bond Call Terms Set may be some This is NOT a kind of Bond Contract but a kind of Issue Offer, and is modeled as such, in the Issuance Terms section of the model. This class of contract is retained in the model for now in order to provide traceability with the CFI term for "Bond With Warrant" only. Bond Bond Debt Conversion Terms Set Issued Share yes Added by extension from CFI Municipal. If there are Municipal Bonds inthe classification hierarchy then Corporate and Government should also be included. Bond Municipal Bond Government Bond Corporate Bond Issuer Security Issuer Incorporated Company It is assumed here that other types of legal entities which are businesses (e.g. limited liability partnerships) do not issue Corporate Bond, or that if they did so these would be identified as a different kind of bond which is not modeled here. Otherwise the scope of the target of this relationship would need to be broadened. For example six months USD LIBOR + 0.20%. Variable Coupon Bond FRN Coupon Added by extension from CFI Municipal. If there are Municipal Bonds inthe classification hierarchy then Corporate and Government should also be included. Bond Municipal Bond Corporate Bond Government Debt Issuer This feature provides protection to investors by shielding them from changes in the underlying index. The bond's cash flows are adjusted to ensure that the holder of the bond receives a known real rate of return. Notes 04 May: There may also be a kind of security where the coupon payments fluctuate according to an "Index" in the sense of non Interest rate e.g. inflation rate, GDP. But more commonly the term Index Linked refers to principal. Variable Principal Bond Market Base Rate MTNs have a maturity typically of 1 to 10 years. This may vary in different jurisductions. Bonds issued with a long maturity are not redefined as MTNs when their maturity reduces. MTN typically has a long last coupon payment. Some things are different from regular bonds, e.g.: You can register one with different maturities, issued in different groups (cf tranches). See also shelf registration (issuing bond before you file the paperwork with e.g. SEC - not the same). In this case it is registered but not issued all at one time. Flexible. Difference with bond issuance is that you have indenture that says what the maturity is, so every different maturity is a different bond. Bond Bond Corporate Bond Government Bond Municipal Debt Issuer Bank Qualified Tax This is a US term. When purchased by a commercial bank Exemption for its portfolio, the bank may receive an 80% tax deduction for the interest cost of carry for the issue. A bond that is bank qualified is also known as a Qualified Tax-exempt Obligation. Municipal Bond Issue Information Bond Fixed Coupon Bond Bond Variable Coupon 1 Note that a zero coupon is treated for calculation purposes as a fixed coupon bond with a coupon rate of zero, and not as a bond without a coupon rate. Fixed Coupon Bond Zero Coupon Terms Set Zero Coupon and OID Bond Call Terms http://www.investorwords.com/1927/FHLMC.html Government Mortgage Agency http://www.investorwords.com/2031/FNMA.html Government Mortgage Agency http://www.investorwords.com/2184/GNMA.html Government Mortgage Agency Term Origin Definition Source Consensus Last Modified ISO 10962 = Bonds With SMER Review 30-Jun-10 Warrants Attached Review 30-Jun-10 Review 30-Jun-10 DTCC SR Draft Review 30-Jun-10 30-Jun-10 DTCC SR Draft Review 30-Jun-10 Review 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 Action 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 SR Modeling SR Draft Review 30-Jun-10 Review 30-Jun-10 Action 30-Jun-10 FIBIM = InterestRate Review 30-Jun-10 Review 30-Jun-10 SR Modeling SR Draft Review 30-Jun-10 30-Jun-10 SR Modeling SR Draft Review 30-Jun-10 30-Jun-10 30-Jun-10 Review 30-Jun-10 SMER SMER Review 30-Jun-10 30-Jun-10 ABS PoC MB Draft Review 30-Jun-10 SR Modeling SR Draft Review 30-Jun-10 30-Jun-10 Review 30-Jun-10 ABS PoC Review MB Draft Review 30-Jun-10 ISO 10962 = Bonds With SMER Yes 30-Jun-10 Warrants Attached 30-Jun-10 30-Jun-10 ISO 10962 = Bonds With SMER Review 30-Jun-10 Warrants Attached 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 Review 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 SMER SR Draft Review 30-Jun-10 30-Jun-10 30-Jun-10 MDDL Debt Terms SR Draft Review 30-Jun-10 30-Jun-10 30-Jun-10 Review 30-Jun-10 SR Modeling SR Draft Review 30-Jun-10 MDDL = When construct SR Draft Review 30-Jun-10 30-Jun-10 SR Modeling SR Draft Review 30-Jun-10 MDDL = When details SR Draft Review 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 SR Modeling SR Draft Review 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 Action 30-Jun-10 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 30-Jun-10 SR Modeling SR Draft Review 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 30-Jun-10 SR Modeling SR Draft Review 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 Action 30-Jun-10 30-Jun-10 Unclear. SMER> Unknown Action 30-Jun-10 Yes 30-Jun-10 SR Modeling SR Draft Review 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 30-Jun-10 Review 30-Jun-10 SR Modeling SR Draft Review 30-Jun-10 30-Jun-10 SR Modeling SR Draft Review 30-Jun-10 30-Jun-10 30-Jun-10 Review 30-Jun-10 30-Jun-10 SR Modeling SR Draft Review 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 30-Jun-10 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 30-Jun-10 Yes 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 SME Reviews SME Reviews Review 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 SME Review SME Review adapted Review 30-Jun-10 30-Jun-10 Review 30-Jun-10 SME Reviews SME Reviews Review 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 SME Review SME Review adapted Review 30-Jun-10 Review 30-Jun-10 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 Action 30-Jun-10 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 review 30-Jun-10 Review 30-Jun-10 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 30-Jun-10 Review 30-Jun-10 Action 30-Jun-10 Review 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 Review 30-Jun-10 30-Jun-10 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 SMER SR Draft Yes 30-Jun-10 30-Jun-10 30-Jun-10 Review 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 SR Modeling SR Draft Review 30-Jun-10 SR Modeling SR Draft Review 30-Jun-10 SR Modeling SR Draft Review 30-Jun-10 30-Jun-10 30-Jun-10 Action 30-Jun-10 30-Jun-10 Action 30-Jun-10 Action 30-Jun-10 30-Jun-10 Action 30-Jun-10 30-Jun-10 30-Jun-10 Algo Review SR Draft Review 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 SR Modeling SR Draft Review 30-Jun-10 Action 30-Jun-10 Yes 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 Yes 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 30-Jun-10 30-Jun-10 MDDL Debt Terms SR Draft Review 30-Jun-10 30-Jun-10 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 SR Modeling SR Draft Review 30-Jun-10 30-Jun-10 OTPP Review OTPP Review Yes 30-Jun-10 30-Jun-10 30-Jun-10 Action 30-Jun-10 Review 30-Jun-10 30-Jun-10 Review 30-Jun-10 Yes 30-Jun-10 Yes 30-Jun-10 Yes 30-Jun-10 Review 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 CFI Wikipedia Review 30-Jun-10 Yes 30-Jun-10 FIBIM: TradingMarket SMER Review 30-Jun-10 (part) SR Modeling SR Draft Review 30-Jun-10 30-Jun-10 30-Jun-10 SR Modeling Review 30-Jun-10 Review 30-Jun-10 FIBIM = CallableIndicator SMER Review 30-Jun-10 FIBIM = FIBIM Review 30-Jun-10 CapitalisedInterest FIBIM = SMER Yes 30-Jun-10 ConvertibleIndicator ISO 10962 = Bonds With SMER Review 30-Jun-10 Warrants Attached 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 SR Modeling SR Draft Review 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 SR Modeling SR Draft Review 30-Jun-10 SR Modeling SR Draft Review 30-Jun-10 30-Jun-10 SR Modeling SR Draft Review 30-Jun-10 SR Modeling SR Draft? Yes 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 SR Modeling SR Draft Review 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 SR Modeling SR Draft Review 30-Jun-10 OTPP Review OTPP Review Review 30-Jun-10 30-Jun-10 30-Jun-10 Yes 30-Jun-10 Yes 30-Jun-10 CFI SR Draft Review 30-Jun-10 30-Jun-10 30-Jun-10 30-Jun-10 SR Modeling SR Draft Review 30-Jun-10 DTCC SR Draft Review 30-Jun-10 30-Jun-10 DTCC Review SR Draft Review 30-Jun-10 30-Jun-10 Yes 30-Jun-10 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 Yes 30-Jun-10 Review 30-Jun-10 Review 30-Jun-10 PoC reviews Investorwords.com Review 30-Jun-10 30-Jun-10 PoC reviews Investorwords.com Review 30-Jun-10 30-Jun-10 PoC reviews Investorwords.com Review 30-Jun-10 30-Jun-10