interchange-schema-registry
Version:
A Global Schema Registry for Data Interchange formats
203 lines (202 loc) • 8.13 kB
text/xml
<!--View is confirmation-->
<!--Version is 5-10-->
<!--NS is http://www.fpml.org/FpML-5/confirmation-->
<!--
== Copyright (c) 2014-2018 All rights reserved.
== Financial Products Markup Language is subject to the FpML public license.
== A copy of this license is available at http://www.fpml.org/license/license.html
-->
<dataDocument
xmlns="http://www.fpml.org/FpML-5/confirmation"
xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
fpmlVersion="5-10"
xsi:schemaLocation="http://www.fpml.org/FpML-5/confirmation ../../fpml-main-5-10.xsd http://www.w3.org/2000/09/xmldsig# ../../xmldsig-core-schema.xsd"
>
<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="BankB" />
<tradeId tradeIdScheme="TradeRefNbr">TRADEABC</tradeId>
</partyTradeIdentifier>
<tradeDate>2008-01-01</tradeDate>
</tradeHeader>
<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>ValuationTime</determinationMethod>
<valuationRules id="equityValuationDates">
<valuationDates>
<adjustableDates>
<unadjustedDate>2009-01-01</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDates>
</valuationDates>
</valuationRules>
</valuationPriceInterim>
<valuationPriceFinal>
<determinationMethod>ValuationTime</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 Spread -->
<compounding>
<compoundingRate>
<interestLegRate href="floatingRateCalculation" />
</compoundingRate>
<compoundingSpread>.05</compoundingSpread>
</compounding>
</interestCalculation>
</interestLeg>
<mutualEarlyTermination>false</mutualEarlyTermination>
</equitySwapTransactionSupplement>
<collateral>
<independentAmount>
<payerPartyReference href="BankA" />
<receiverPartyReference href="BankB" />
<paymentDetail>
<paymentRule xsi:type="PercentageRule">
<paymentPercent>.02</paymentPercent>
<notionalAmountReference href="equityNotionalAmount" />
</paymentRule>
</paymentDetail>
</independentAmount>
</collateral>
<documentation>
<masterConfirmation>
<masterConfirmationType>EquityAmericas</masterConfirmationType>
<masterConfirmationDate>2002-06-20</masterConfirmationDate>
</masterConfirmation>
</documentation>
</trade>
<party id="BankB">
<partyId partyIdScheme="DTCC">BankB</partyId>
</party>
<party id="BankA">
<partyId partyIdScheme="DTCC">BankA</partyId>
</party>
</dataDocument>