fpml:dividendSwapTransactionSupplement

The variance swap details.

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.
  1. fpml:dividendLeg [1..1]    Dividend leg.
  2. fpml:fixedLeg [1..1]    Fixed payment leg.
  from group fpml:EquityUnderlyerProvisions.model
  Sequence [0..1]
  from group fpml:IndexAnnexFallback.model
  Choice [0..1]
  • fpml:multipleExchangeIndexAnnexFallback    For an index option transaction, a flag to indicate whether a relevant Multiple Exchange Index Annex is applicable to the transaction. This annex defines additional provisions which are applicable where an index is comprised of component securities that are traded on multiple exchanges.
  • fpml:componentSecurityIndexAnnexFallback    For an index option transaction, a flag to indicate whether a relevant Component Security Index Annex is applicable to the transaction.
  1. fpml:localJurisdiction [0..1]    Local Jurisdiction is a term used in the AEJ Master Confirmation, which is used to determine local taxes, which shall mean taxes, duties, and similar charges imposed by the taxing authority of the Local Jurisdiction If this element is not present Local Jurisdiction is Not Applicable.
  2. fpml:relevantJurisdiction [0..1]    Relevent Jurisdiction is a term used in the AEJ Master Confirmation, which is used to determine local taxes, which shall mean taxes, duties and similar charges that would be imposed by the taxing authority of the Country of Underlyer on a Hypothetical Broker Dealer assuming the Applicable Hedge Positions are held by its office in the Relevant Jurisdiction. If this element is not present Relevant Jurisdiction is Not Applicable.

Attributes

Used in

• Type fpml:DividendSwapOptionTransactionSupplement (Element fpml:dividendSwapOptionTransactionSupplement)

Sample instance

<dividendSwapTransactionSupplement>
   <dividendLeg>
      <payerPartyReference href="kom722"/>
      <receiverPartyReference href="kow029"/>
      <underlyer>
         <singleUnderlyer>
            <index>
               <instrumentId instrumentIdScheme="http://example.com/instrumentId">.FCHI</instrumentId>
               <description>France CAC 40 Index</description>
               <currency>EUR</currency>
               <exchangeId>XPAR</exchangeId>
               <relatedExchangeId>XMAT</relatedExchangeId>
               <relatedExchangeId>XMON</relatedExchangeId>
            </index>
            <openUnits>1000</openUnits>
         </singleUnderlyer>
      </underlyer>
      <settlementType>Cash</settlementType>
      <settlementCurrency>USD</settlementCurrency>
      <declaredCashDividendPercentage>1.0</declaredCashDividendPercentage>
      <declaredCashEquivalentDividendPercentage>1.0</declaredCashEquivalentDividendPercentage>
      <dividendPeriod id="d1">
         <unadjustedStartDate>2010-12-20</unadjustedStartDate>
         <unadjustedEndDate id="e1">2011-12-19</unadjustedEndDate>
         <dateAdjustments>
            <businessDayConvention>FOLLOWING</businessDayConvention>
            <businessCenters>
               <businessCenter>EUTA</businessCenter>
            </businessCenters>
         </dateAdjustments>
         <fixedStrike>0.045</fixedStrike>
         <paymentDate id="p1">
            <relativeDate>
               <periodMultiplier>3</periodMultiplier>
               <period>D</period>
               <dayType>Calendar</dayType>
               <businessDayConvention>FOLLOWING</businessDayConvention>
               <dateRelativeTo href="e1"/>
            </relativeDate>
         </paymentDate>
      </dividendPeriod>
      <dividendPeriod id="d2">
         <unadjustedStartDate>2011-12-20</unadjustedStartDate>
         <unadjustedEndDate id="e2">2012-12-19</unadjustedEndDate>
         <dateAdjustments>
            <businessDayConvention>FOLLOWING</businessDayConvention>
            <businessCenters>
               <businessCenter>EUTA</businessCenter>
            </businessCenters>
         </dateAdjustments>
         <fixedStrike>0.045</fixedStrike>
         <paymentDate id="p2">
            <relativeDate>
               <periodMultiplier>3</periodMultiplier>
               <period>D</period>
               <dayType>Calendar</dayType>
               <businessDayConvention>FOLLOWING</businessDayConvention>
               <dateRelativeTo href="e2"/>
            </relativeDate>
         </paymentDate>
      </dividendPeriod>
   </dividendLeg>
   <fixedLeg>
      <payerPartyReference href="kow029"/>
      <receiverPartyReference href="kom722"/>
      <fixedPayment>
         <paymentAmount>
            <currency>USD</currency>
            <amount>50000</amount>
         </paymentAmount>
         <paymentDate>
            <periodMultiplier>0</periodMultiplier>
            <period>D</period>
            <businessDayConvention>NONE</businessDayConvention>
            <dateRelativeTo href="p1"/>
         </paymentDate>
      </fixedPayment>
      <fixedPayment>
         <paymentAmount>
            <currency>USD</currency>
            <amount>56000</amount>
         </paymentAmount>
         <paymentDate>
            <periodMultiplier>0</periodMultiplier>
            <period>D</period>
            <businessDayConvention>NONE</businessDayConvention>
            <dateRelativeTo href="p1"/>
         </paymentDate>
      </fixedPayment>
   </fixedLeg>
</dividendSwapTransactionSupplement>