fpml:ReturnSwap

A type describing return swaps including return swaps (long form), total return swaps, and variance swaps.

Complex type 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:ReturnSwapBase
  from group fpml:BuyerSeller.model
  Sequence [0..1]
  1. fpml:buyerPartyReference [1..1]    A reference to the party that buys this instrument, ie. pays for this instrument and receives the rights defined by it. See 2000 ISDA definitions Article 11.1 (b). In the case of FRAs this the fixed rate payer.
  2. fpml:buyerAccountReference [0..1]    A reference to the account that buys this instrument.
  3. fpml:sellerPartyReference [1..1]    A reference to the party that sells ("writes") this instrument, i.e. that grants the rights defined by this instrument and in return receives a payment for it. See 2000 ISDA definitions Article 11.1 (a). In the case of FRAs this is the floating rate payer.
  4. fpml:sellerAccountReference [0..1]    A reference to the account that sells this instrument.
  Choice [1..*]
  from subst. group fpml:returnSwapLeg
  fpml:interestLeg    The fixed income amounts of the return type swap.
  fpml:returnLeg    Return amounts of the return type swap.
  fpml:principalExchangeFeatures [0..1]    This is used to document a Fully Funded Return Swap.
  fpml:additionalPayment [0..*]    Specifies additional payment(s) between the principal parties to the trade.
  1. fpml:earlyTermination [0..*]    Specifies, for one or for both the parties to the trade, the date from which it can early terminate it.
  2. 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.

Attributes

Used by

• Element fpml:returnSwap

Type inheritance chain

• fpml:Product
  • fpml:ReturnSwapBase
    • fpml:ReturnSwap