fpml:correlationSwap

Specifies the structure of a correlation swap.

Element information

Content

• Sequence [1..1]
  from type fpml:Product
  from group fpml:Product.model
  Sequence [0..1]
  1. fpml:primaryAssetClass [0..1]    A classification of the most important risk class of the trade. FpML defines a simple asset class categorization using a coding scheme.
  2. fpml:secondaryAssetClass [0..*]    A classification of additional risk classes of the trade, if any. FpML defines a simple asset class categorization using a coding scheme.
  3. fpml:productType [0..*]    A classification of the type of product. FpML defines a simple product categorization using a coding scheme.
  4. fpml:productId [0..*]    A product reference identifier. The product ID is an identifier that describes the key economic characteristics of the trade type, with the exception of concepts such as size (notional, quantity, number of units) and price (fixed rate, strike, etc.) that are negotiated for each transaction. It can be used to hold identifiers such as the "UPI" (universal product identifier) required by certain regulatory reporting rules. It can also be used to hold identifiers of benchmark products or product temnplates used by certain trading systems or facilities. FpML does not define the domain values associated with this element. Note that the domain values for this element are not strictly an enumerated list.
  5. fpml:assetClass [0..*]    A classification of the risk class of the trade. FpML defines a simple asset class categorization using a coding scheme.
  from type fpml:NettedSwapBase
  fpml:additionalPayment [0..*]    Specifies additional payment(s) between the principal parties to the netted swap.
  fpml:extraordinaryEvents [0..1]    Where the underlying is shares, specifies events affecting the issuer of those shares that may require the terms of the transaction to be adjusted.
  1. fpml:correlationLeg [1..1]    Correlation Leg. Correlation Buyer is deemed to be the Equity Amount Receiver, Correlation Seller is deemed to be the Equity Amount Payer.

Attributes

Used in

• Type fpml:PhysicalSettlement (Element fpml:physicalSettlement)
• Type fpml:Strategy (Element fpml:strategy)
• Type fpml:Trade (Elements fpml:trade, fpml:trade, fpml:originalTrade, fpml:resultingTrade, fpml:trade, fpml:originalTrade, fpml:oldTrade, fpml:trade, fpml:feeTrade, fpml:newTrade, fpml:oldTrade, fpml:trade, fpml:trade, fpml:trade)

Substitution hierarchy

• fpml:product
  • can be substituted with fpml:correlationSwap

Sample instance

<correlationSwap>
   <correlationLeg>
      <payerPartyReference href="kom722"/>
      <receiverPartyReference href="kow029"/>
      <underlyer>
         <basket id="SP500Top3">
            <basketConstituent>
               <equity>
                  <instrumentId instrumentIdScheme="http://www.fpml.org/schemes/4.1/instrumentId">IBM.N</instrumentId>
                  <description>International Business Machines Common Share</description>
                  <currency>USD</currency>
                  <exchangeId>XNYS</exchangeId>
               </equity>
            </basketConstituent>
            <basketConstituent>
               <equity>
                  <instrumentId instrumentIdScheme="http://www.fpml.org/schemes/4.1/instrumentId">MSFT.O</instrumentId>
                  <description>Microsoft Common Share</description>
                  <currency>USD</currency>
                  <exchangeId>XNAS</exchangeId>
               </equity>
            </basketConstituent>
            <basketConstituent>
               <equity>
                  <instrumentId instrumentIdScheme="http://www.fpml.org/schemes/4.1/instrumentId">B.N</instrumentId>
                  <description>Barnes and Noble Common Share</description>
                  <currency>USD</currency>
                  <exchangeId>XNYS</exchangeId>
               </equity>
            </basketConstituent>
         </basket>
      </underlyer>
      <settlementType>Cash</settlementType>
      <settlementDate>
         <relativeDate>
            <periodMultiplier>2</periodMultiplier>
            <period>D</period>
            <dayType>CurrencyBusiness</dayType>
            <businessDayConvention>FOLLOWING</businessDayConvention>
            <businessCenters>
               <businessCenter>USNY</businessCenter>
            </businessCenters>
            <dateRelativeTo href="vd903"/>
         </relativeDate>
      </settlementDate>
      <valuation>
         <valuationDate id="vd903">
            <adjustableDate>
               <unadjustedDate>2009-12-19</unadjustedDate>
               <dateAdjustments>
                  <businessDayConvention>NotApplicable</businessDayConvention>
               </dateAdjustments>
            </adjustableDate>
         </valuationDate>
      </valuation>
      <amount>
         <observationStartDate>
            <adjustableDate>
               <unadjustedDate>2007-01-05</unadjustedDate>
               <dateAdjustments>
                  <businessDayConvention>NotApplicable</businessDayConvention>
               </dateAdjustments>
            </adjustableDate>
         </observationStartDate>
         <allDividends>false</allDividends>
         <correlation>
            <closingLevel>true</closingLevel>
            <expectedN>120</expectedN>
            <notionalAmount>
               <currency>USD</currency>
               <amount>350000</amount>
            </notionalAmount>
            <correlationStrikePrice>0.60123</correlationStrikePrice>
            <boundedCorrelation>
               <minimumBoundaryPercent>0.35123</minimumBoundaryPercent>
               <maximumBoundaryPercent>0.85123</maximumBoundaryPercent>
            </boundedCorrelation>
            <numberOfDataSeries>1</numberOfDataSeries>
         </correlation>
      </amount>
   </correlationLeg>
</correlationSwap>