Schema Central > FpML 5.5 Confirmation > fpml-eq-shared-5-5.xsd > fpml:returnSwap
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fpml:returnSwap

Specifies the structure of a return type swap. It can represent return swaps, total return swaps, variance swaps.

Element information

Type: fpml:ReturnSwap

Properties: Global, Qualified

Content

Attributes

NameOccTypeDescriptionNotes
id [0..1]xsd:IDfrom type fpml:Product

Used in

Substitution hierarchy

Sample instance

<returnSwap>
   <productType>SingleStockExecutionSwap</productType>
   <returnLeg>
      <payerPartyReference href="party1"/>
      <receiverPartyReference href="party2"/>
      <effectiveDate id="EffectiveDate">
         <relativeDate>
            <periodMultiplier>3</periodMultiplier>
            <period>D</period>
            <dayType>ExchangeBusiness</dayType>
            <businessDayConvention>NotApplicable</businessDayConvention>
            <dateRelativeTo href="TradeDate"/>
         </relativeDate>
      </effectiveDate>
      <terminationDate id="TerminationDate">
         <relativeDate>
            <periodMultiplier>0</periodMultiplier>
            <period>D</period>
            <businessDayConvention>NotApplicable</businessDayConvention>
            <dateRelativeTo href="FinalEquityPaymentDate"/>
         </relativeDate>
      </terminationDate>
      <underlyer>
         <singleUnderlyer>
            <equity>
               <instrumentId instrumentIdScheme="http://www.abc.com/instrumentId">SHPGY.O</instrumentId>
               <description>Shire Pharmeceuticals Group - American Depositary Receipts</description>
               <exchangeId exchangeIdScheme="http://www.abc.com/exchangeId">NASD</exchangeId>
            </equity>
            <openUnits>760400</openUnits>
            <dividendPayout>
               <dividendPayoutRatio>1</dividendPayoutRatio>
            </dividendPayout>
         </singleUnderlyer>
      </underlyer>
      <settlementType>Cash</settlementType>
      <rateOfReturn>
         <initialPrice>
            <netPrice>
               <currency>USD</currency>
               <amount>37.44</amount>
               <priceExpression>AbsoluteTerms</priceExpression>
            </netPrice>
         </initialPrice>
         <notionalReset>true</notionalReset>
         <valuationPriceInterim>
            <determinationMethod>ValuationTime</determinationMethod>
            <valuationRules>
               <valuationDates id="InterimValuationDate">
                  <adjustableDates>
                     <unadjustedDate>2001-10-12</unadjustedDate>
                     <unadjustedDate>2001-11-13</unadjustedDate>
                     <unadjustedDate>2001-12-12</unadjustedDate>
                     <unadjustedDate>2002-01-14</unadjustedDate>
                     <unadjustedDate>2002-02-12</unadjustedDate>
                     <unadjustedDate>2002-03-12</unadjustedDate>
                     <unadjustedDate>2002-04-12</unadjustedDate>
                     <unadjustedDate>2002-05-13</unadjustedDate>
                     <unadjustedDate>2002-06-12</unadjustedDate>
                     <unadjustedDate>2002-07-12</unadjustedDate>
                     <unadjustedDate>2002-08-12</unadjustedDate>
                     <dateAdjustments>
                        <businessDayConvention>NotApplicable</businessDayConvention>
                     </dateAdjustments>
                  </adjustableDates>
               </valuationDates>
               <valuationTimeType>Close</valuationTimeType>
            </valuationRules>
         </valuationPriceInterim>
         <valuationPriceFinal>
            <determinationMethod>HedgeExecution</determinationMethod>
            <valuationRules>
               <valuationDate id="FinalValuationDate">
                  <adjustableDate>
                     <unadjustedDate>2002-09-24</unadjustedDate>
                     <dateAdjustments>
                        <businessDayConvention>NotApplicable</businessDayConvention>
                     </dateAdjustments>
                  </adjustableDate>
               </valuationDate>
            </valuationRules>
         </valuationPriceFinal>
         <paymentDates id="EquityPaymentDate">
            <paymentDatesInterim id="InterimEquityPaymentDate">
               <relativeDates>
                  <periodMultiplier>3</periodMultiplier>
                  <period>D</period>
                  <dayType>CurrencyBusiness</dayType>
                  <businessDayConvention>FOLLOWING</businessDayConvention>
                  <businessCenters id="PrimaryBusinessCenter">
                     <businessCenter>USNY</businessCenter>
                  </businessCenters>
                  <dateRelativeTo href="InterimValuationDate"/>
               </relativeDates>
            </paymentDatesInterim>
            <paymentDateFinal id="FinalEquityPaymentDate">
               <relativeDate>
                  <periodMultiplier>3</periodMultiplier>
                  <period>D</period>
                  <dayType>CurrencyBusiness</dayType>
                  <businessDayConvention>FOLLOWING</businessDayConvention>
                  <businessCentersReference href="PrimaryBusinessCenter"/>
                  <dateRelativeTo href="FinalValuationDate"/>
               </relativeDate>
            </paymentDateFinal>
         </paymentDates>
      </rateOfReturn>
      <notional>
         <notionalAmount id="EquityNotionalAmount">
            <currency>USD</currency>
            <amount>28469376</amount>
         </notionalAmount>
      </notional>
      <amount>
         <currency id="EquityPaymentCurrency">USD</currency>
         <referenceAmount>ISDA Standard</referenceAmount>
         <cashSettlement>true</cashSettlement>
      </amount>
      <return>
         <returnType>Total</returnType>
         <dividendConditions>
            <dividendReinvestment>false</dividendReinvestment>
            <dividendEntitlement>ExDate</dividendEntitlement>
            <dividendPaymentDate>
               <dividendDateReference>EquityPaymentDate</dividendDateReference>
            </dividendPaymentDate>
            <dividendPeriodEffectiveDate href="TradeDate"/>
            <dividendPeriodEndDate href="TerminationDate"/>
            <extraOrdinaryDividends href="party1"/>
            <excessDividendAmount>RecordAmount</excessDividendAmount>
            <determinationMethod>DividendCurrency</determinationMethod>
         </dividendConditions>
      </return>
      <notionalAdjustments>Execution</notionalAdjustments>
   </returnLeg>
   <interestLeg>
      <payerPartyReference href="party2"/>
      <receiverPartyReference href="party1"/>
      <interestLegCalculationPeriodDates id="InterestLegPeriodDates">
         <effectiveDate>
            <relativeDate>
               <periodMultiplier>3</periodMultiplier>
               <period>D</period>
               <dayType>ExchangeBusiness</dayType>
               <businessDayConvention>NotApplicable</businessDayConvention>
               <dateRelativeTo href="TradeDate"/>
            </relativeDate>
         </effectiveDate>
         <terminationDate>
            <relativeDate>
               <periodMultiplier>0</periodMultiplier>
               <period>D</period>
               <businessDayConvention>NotApplicable</businessDayConvention>
               <dateRelativeTo href="FinalEquityPaymentDate"/>
            </relativeDate>
         </terminationDate>
         <interestLegResetDates>
            <calculationPeriodDatesReference href="InterestLegPeriodDates"/>
            <resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
         </interestLegResetDates>
         <interestLegPaymentDates>
            <relativeDates>
               <periodMultiplier>0</periodMultiplier>
               <period>D</period>
               <businessDayConvention>NotApplicable</businessDayConvention>
               <dateRelativeTo href="EquityPaymentDate"/>
            </relativeDates>
         </interestLegPaymentDates>
      </interestLegCalculationPeriodDates>
      <notional>
         <relativeNotionalAmount href="EquityNotionalAmount"/>
      </notional>
      <interestAmount>
         <currencyReference href="EquityPaymentCurrency"/>
         <referenceAmount>Standard ISDA</referenceAmount>
      </interestAmount>
      <interestCalculation>
         <floatingRateCalculation>
            <floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex>
            <indexTenor>
               <periodMultiplier>1</periodMultiplier>
               <period>M</period>
            </indexTenor>
            <spreadSchedule>
               <initialValue>0.0020</initialValue>
            </spreadSchedule>
         </floatingRateCalculation>
         <dayCountFraction>ACT/360</dayCountFraction>
      </interestCalculation>
   </interestLeg>
   <earlyTermination>
      <partyReference href="party1"/>
      <startingDate>
         <dateRelativeTo href="TradeDate"/>
      </startingDate>
   </earlyTermination>
   <earlyTermination>
      <partyReference href="party2"/>
      <startingDate>
         <dateRelativeTo href="TradeDate"/>
      </startingDate>
   </earlyTermination>
   <extraordinaryEvents>
      <mergerEvents>
         <shareForShare>ModifiedCalculationAgent</shareForShare>
         <shareForOther>ModifiedCalculationAgent</shareForOther>
         <shareForCombined>ModifiedCalculationAgent</shareForCombined>
      </mergerEvents>
      <tenderOffer>true</tenderOffer>
      <tenderOfferEvents>
         <shareForShare>ModifiedCalculationAgent</shareForShare>
         <shareForOther>ModifiedCalculationAgent</shareForOther>
         <shareForCombined>ModifiedCalculationAgent</shareForCombined>
      </tenderOfferEvents>
      <compositionOfCombinedConsideration>true</compositionOfCombinedConsideration>
      <additionalDisruptionEvents>
         <changeInLaw>true</changeInLaw>
         <failureToDeliver>true</failureToDeliver>
         <insolvencyFiling>false</insolvencyFiling>
         <hedgingDisruption>true</hedgingDisruption>
         <lossOfStockBorrow>true</lossOfStockBorrow>
         <increasedCostOfStockBorrow>false</increasedCostOfStockBorrow>
         <increasedCostOfHedging>false</increasedCostOfHedging>
         <determiningPartyReference href="party1"/>
      </additionalDisruptionEvents>
      <representations>
         <nonReliance>true</nonReliance>
         <agreementsRegardingHedging>true</agreementsRegardingHedging>
         <additionalAcknowledgements>true</additionalAcknowledgements>
      </representations>
      <nationalisationOrInsolvency>CancellationAndPayment</nationalisationOrInsolvency>
   </extraordinaryEvents>
</returnSwap>

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