Schema Central > FpML 5.0 Confirmation > fpml-return-swaps-5-0.xsd > equitySwapTransactionSupplement
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equitySwapTransactionSupplement

Specifies the structure of the equity swap transaction supplement.

Element information

Content

Attributes

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

Used in

Substitution hierarchy

Sample instance

<equitySwapTransactionSupplement>
   <returnLeg>
      <payerPartyReference href="BankB"/>
      <receiverPartyReference href="BankA"/>
      <effectiveDate id="equityEffectiveDate">
         <adjustableDate>
            <unadjustedDate>2008-01-01</unadjustedDate>
            <dateAdjustments>
               <businessDayConvention>NONE</businessDayConvention>
            </dateAdjustments>
         </adjustableDate>
      </effectiveDate>
      <terminationDate>
         <relativeDate>
            <periodMultiplier>0</periodMultiplier>
            <period>D</period>
            <businessDayConvention>NONE</businessDayConvention>
            <dateRelativeTo href="finalCashSettlementPaymentDate"/>
         </relativeDate>
      </terminationDate>
      <underlyer>
         <singleUnderlyer>
            <index>
               <instrumentId instrumentIdScheme="http://www.abc.com/instrument-id-Reuters-RIC-1-0">.SPX</instrumentId>
               <exchangeId exchangeIdScheme="http://www.abc.com/exchange-id-REC-1-0">N</exchangeId>
               <relatedExchangeId exchangeIdScheme="http://www.abc.com/exchange-id-REC-1-0">ALL</relatedExchangeId>
            </index>
         </singleUnderlyer>
      </underlyer>
      <rateOfReturn>
         <initialPrice>
            <netPrice>
               <amount>100</amount>
               <priceExpression>AbsoluteTerms</priceExpression>
            </netPrice>
         </initialPrice>
         <notionalReset>true</notionalReset>
         <valuationPriceInterim>
            <determinationMethod>PriceAtValuation</determinationMethod>
            <valuationRules id="equityValuationDates">
               <valuationDates>
                  <adjustableDates>
                     <unadjustedDate>2009-01-01</unadjustedDate>
                     <dateAdjustments>
                        <businessDayConvention>NotApplicable</businessDayConvention>
                     </dateAdjustments>
                  </adjustableDates>
               </valuationDates>
            </valuationRules>
         </valuationPriceInterim>
         <valuationPriceFinal>
            <determinationMethod>PriceAtValuation</determinationMethod>
         </valuationPriceFinal>
         <paymentDates id="CashSettlementPaymentDate">
            <paymentDatesInterim>
               <relativeDates>
                  <periodMultiplier>3</periodMultiplier>
                  <period>D</period>
                  <dayType>CurrencyBusiness</dayType>
                  <businessDayConvention>NONE</businessDayConvention>
                  <dateRelativeTo href="equityValuationDates"/>
               </relativeDates>
            </paymentDatesInterim>
            <paymentDateFinal id="finalCashSettlementPaymentDate">
               <relativeDate>
                  <periodMultiplier>3</periodMultiplier>
                  <period>D</period>
                  <dayType>CurrencyBusiness</dayType>
                  <businessDayConvention>NONE</businessDayConvention>
                  <dateRelativeTo href="equityValuationDates"/>
               </relativeDate>
            </paymentDateFinal>
         </paymentDates>
      </rateOfReturn>
      <notional>
         <notionalAmount id="equityNotionalAmount">
            <currency>USD</currency>
            <amount>1000000</amount>
         </notionalAmount>
      </notional>
      <amount>
         <currency id="settlementCurrency">USD</currency>
         <referenceAmount>StandardISDA</referenceAmount>
         <cashSettlement>true</cashSettlement>
      </amount>
      <return>
         <returnType>Price</returnType>
      </return>
      <notionalAdjustments>Standard</notionalAdjustments>
   </returnLeg>
   <interestLeg>
      <payerPartyReference href="BankA"/>
      <receiverPartyReference href="BankB"/>
      <interestLegCalculationPeriodDates id="floatingCalculationPeriodDates">
         <effectiveDate>
            <relativeDate>
               <periodMultiplier>0</periodMultiplier>
               <period>D</period>
               <businessDayConvention>NONE</businessDayConvention>
               <dateRelativeTo href="equityEffectiveDate"/>
            </relativeDate>
         </effectiveDate>
         <terminationDate>
            <relativeDate>
               <periodMultiplier>0</periodMultiplier>
               <period>D</period>
               <businessDayConvention>NONE</businessDayConvention>
               <dateRelativeTo href="finalCashSettlementPaymentDate"/>
            </relativeDate>
         </terminationDate>
         <interestLegResetDates>
            <calculationPeriodDatesReference href="floatingCalculationPeriodDates"/>
            <resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
         </interestLegResetDates>
         <interestLegPaymentDates>
            <adjustableDates>
               <unadjustedDate>2009-01-01</unadjustedDate>
               <dateAdjustments>
                  <businessDayConvention>NotApplicable</businessDayConvention>
               </dateAdjustments>
            </adjustableDates>
         </interestLegPaymentDates>
      </interestLegCalculationPeriodDates>
      <notional>
         <relativeNotionalAmount href="equityNotionalAmount"/>
      </notional>
      <interestAmount>
         <currencyReference href="settlementCurrency"/>
         <referenceAmount>StandardISDA</referenceAmount>
      </interestAmount>
      <interestCalculation>
         <floatingRateCalculation id="floatingRateCalculation">
            <floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex>
            <indexTenor>
               <periodMultiplier>1</periodMultiplier>
               <period>M</period>
            </indexTenor>
            <spreadSchedule>
               <initialValue>.01</initialValue>
            </spreadSchedule>
         </floatingRateCalculation>
         <dayCountFraction>ACT/360</dayCountFraction>
         <compounding>
            <compoundingRate>
               <interestLegRate href="floatingRateCalculation"/>
            </compoundingRate>
            <compoundingSpread>.05</compoundingSpread>
         </compounding>
      </interestCalculation>
   </interestLeg>
   <mutualEarlyTermination>false</mutualEarlyTermination>
</equitySwapTransactionSupplement>

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