fpml:returnLeg

Return 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.
  from type fpml:ReturnSwapLegUnderlyer
  fpml:strikeDate [0..1]    Specifies the strike date of this leg of the swap, used for forward starting swaps. When defined in relation to a date specified somewhere else in the document (through the relativeDate component), this element will typically by relative to the trade date of the swap.
  fpml:underlyer [1..1]    Specifies the underlying component of the leg, which can be either one or many and consists in either equity, index or convertible bond component, or a combination of these.
  from group fpml:OptionSettlement.model
  fpml:settlementType [0..1]    
  fpml:settlementDate [0..1]    
  from group fpml:SettlementAmountOrCurrency.model
  Choice [0..1]
  • fpml:settlementAmount    Settlement Amount
  • fpml:settlementCurrency    Settlement Currency for use where the Settlement Amount cannot be known in advance
  1. fpml:rateOfReturn [1..1]    Specifies the terms of the initial price of the return type swap and of the subsequent valuations of the underlyer.
  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:amount [1..1]    Specifies, in relation to each Payment Date, the amount to which the Payment Date relates. For return swaps this element is equivalent to the Equity Amount term as defined in the ISDA 2002 Equity Derivatives Definitions.
  4. fpml:return [0..1]    Specifies the conditions under which dividend affecting the underlyer will be paid to the receiver of the amounts.
  5. fpml:notionalAdjustments [0..1]    Specifies the conditions that govern the adjustment to the number of units of the return swap.

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:returnLeg

Sample instance

<returnLeg>
   <effectiveDate id="EffectiveDate">
      <relativeDate>
         <periodMultiplier>3</periodMultiplier>
         <period>D</period>
         <dateRelativeTo href="TradeDate"/>
      </relativeDate>
   </effectiveDate>
   <terminationDate id="TerminationDate">
      <relativeDate>
         <periodMultiplier>0</periodMultiplier>
         <period>D</period>
         <dateRelativeTo href="FinalEquityPaymentDate"/>
      </relativeDate>
   </terminationDate>
   <underlyer>
      <singleUnderlyer>
         <equity>
            <instrumentId instrumentIdScheme="http://www.abc.com/instrumentId">SHPGY.O</instrumentId>
            <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>
         <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>
               </adjustableDates>
            </valuationDates>
            <valuationTimeType>Close</valuationTimeType>
         </valuationRules>
      </valuationPriceInterim>
      <valuationPriceFinal>
         <valuationRules>
            <valuationDate id="FinalValuationDate">
               <adjustableDate>
                  <unadjustedDate>2002-09-24</unadjustedDate>
               </adjustableDate>
            </valuationDate>
         </valuationRules>
      </valuationPriceFinal>
      <paymentDates id="EquityPaymentDate">
         <paymentDatesInterim id="InterimEquityPaymentDate">
            <relativeDates>
               <periodMultiplier>3</periodMultiplier>
               <period>D</period>
               <dateRelativeTo href="InterimValuationDate"/>
            </relativeDates>
         </paymentDatesInterim>
         <paymentDateFinal id="FinalEquityPaymentDate">
            <relativeDate>
               <periodMultiplier>3</periodMultiplier>
               <period>D</period>
               <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>
   </amount>
   <return>
      <returnType>Total</returnType>
   </return>
   <notionalAdjustments>Execution</notionalAdjustments>
</returnLeg>