fpml:interestLeg

The fixed income amounts of the return type swap.

Element information

Content

• Sequence [1..1]
  from type fpml:DirectionalLeg
  fpml:legIdentifier [0..*]    Version aware identification of this leg.
  fpml:effectiveDate [0..1]    Specifies the effective date of this leg of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDate component), this element will typically point to the effective date of the other leg of the swap.
  fpml:terminationDate [0..1]    Specifies the termination date of this leg of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDate component), this element will typically point to the termination date of the other leg of the swap.
  1. fpml:interestLegCalculationPeriodDates [0..1]    Component that holds the various dates used to specify the interest leg of the equity swap. It is used to define the InterestPeriodDates identifyer.
  2. fpml:notional [0..1]    Specifies the notional of a return type swap. When used in the equity leg, the definition will typically combine the actual amount (using the notional component defined by the FpML industry group) and the determination method. When used in the interest leg, the definition will typically point to the definition of the equity leg.
  3. fpml:interestAmount [0..1]    Specifies, in relation to each Interest Payment Date, the amount to which the Interest Payment Date relates. Unless otherwise specified, this term has the meaning defined in the ISDA 2000 ISDA Definitions.
  4. fpml:interestCalculation [1..1]    Specifies the calculation method of the interest rate leg of the equity swap. Includes the floating or fixed rate calculation definitions, along with the determination of the day count fraction.

Attributes

Used in

• Type fpml:ReturnSwapBase
• Type fpml:EquitySwapTransactionSupplement via extension of fpml:ReturnSwapBase (Element fpml:equitySwapTransactionSupplement)
• Type fpml:ReturnSwap via extension of fpml:ReturnSwapBase (Element fpml:returnSwap)

Substitution hierarchy

• fpml:returnSwapLeg
  • can be substituted with fpml:interestLeg

Sample instance

<interestLeg>
   <interestLegCalculationPeriodDates id="InterestLegPeriodDates">
      <effectiveDate>
         <relativeDate>
            <periodMultiplier>3</periodMultiplier>
            <period>D</period>
            <dateRelativeTo href="TradeDate"/>
         </relativeDate>
      </effectiveDate>
      <terminationDate>
         <relativeDate>
            <periodMultiplier>0</periodMultiplier>
            <period>D</period>
            <dateRelativeTo href="FinalEquityPaymentDate"/>
         </relativeDate>
      </terminationDate>
      <interestLegPaymentDates>
         <relativeDates>
            <periodMultiplier>0</periodMultiplier>
            <period>D</period>
            <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>
      </floatingRateCalculation>
      <dayCountFraction>ACT/360</dayCountFraction>
   </interestCalculation>
</interestLeg>