fpml:returnSwap

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

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:embeddedOptionType [0..2]    Describes the type of any embedded optionality in the transaction that might not otherwise be apparent. Can be used to represent embedded optionality such as early termination provisions, extendible provisions, or cancelable provisions, etc., where applicable. If omitted, no embedded optionality is applicable.
  from type fpml:ReturnSwapBase
  Choice [1..2]
  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.

Attributes

Used in

• Type fpml:Strategy
• Type fpml:PhysicalSettlement (Element fpml:physicalSettlement)
• Type fpml:Trade (Elements fpml:trade, fpml:originalTrade, fpml:resultingTrade, fpml:trade, fpml:originalTrade, fpml:oldTrade, fpml:trade, fpml:feeTrade, fpml:newTrade, fpml:oldTrade, fpml:trade, fpml:trade)

Substitution hierarchy

• fpml:product
  • can be substituted with fpml:returnSwap

Sample instance

<returnSwap>
   <primaryAssetClass>Equity</primaryAssetClass>
   <productType>Equity:Swap:Equityswap:Single-name</productType>
   <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>
   <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>
   <earlyTermination>
      <startingDate>
         <dateRelativeTo href="TradeDate"/>
      </startingDate>
   </earlyTermination>
   <earlyTermination>
      <startingDate>
         <dateRelativeTo href="TradeDate"/>
      </startingDate>
   </earlyTermination>
</returnSwap>