interchange-schema-registry
Version:
A Global Schema Registry for Data Interchange formats
384 lines (383 loc) • 17.4 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
-->
<!--5.0:Message type is a Root of the message-->
<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 id="trs-eq1-trade">
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="party1" />
<tradeId tradeIdScheme="http://www.abc.com/swaps/trade-id">TRS-01</tradeId>
</partyTradeIdentifier>
<partyTradeIdentifier>
<partyReference href="party2" />
<tradeId tradeIdScheme="http://www.hedgeco.com/swaps/trade-id">total-ret-swap-01</tradeId>
</partyTradeIdentifier>
<tradeDate id="trs-eq1-TradeDate">2004-10-10</tradeDate>
</tradeHeader>
<returnSwap>
<productType productTypeScheme="http://www.fpml.org/coding-scheme/product-type-simple">TotalReturnSwap</productType>
<returnLeg id="trs-eq1-equityLeg">
<legIdentifier>
<legId legIdScheme="http://www.partyA.com/leg-id">12345</legId>
</legIdentifier>
<payerPartyReference href="party1" />
<receiverPartyReference href="party2" />
<!--FpML 5-0:Removed-->
<!--paymentFrequency>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</paymentFrequency-->
<effectiveDate id="trs-eq1-EffectiveDate">
<adjustableDate>
<unadjustedDate>2004-10-12</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</effectiveDate>
<terminationDate id="trs-eq1-TerminationDate">
<adjustableDate>
<unadjustedDate>2006-10-12</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</terminationDate>
<underlyer>
<singleUnderlyer>
<equity id="trs-eq1-equity-asset">
<instrumentId instrumentIdScheme="http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0">SHPGY.O</instrumentId>
<description>Shire Pharmeceuticals Group - American Depositary Receipts</description>
<currency>EUR</currency>
<exchangeId exchangeIdScheme="http://www.fpml.org/schemes/4.1/exchangeId">XNAS</exchangeId>
</equity>
<openUnits>760400</openUnits>
<dividendPayout>
<dividendPayoutRatio>0.85</dividendPayoutRatio>
<dividendPayment>
<paymentDate>2004-01-01</paymentDate>
<amount>
<currency>USD</currency>
<amount>123456.00</amount>
</amount>
<accruedInterest>
<currency>USD</currency>
<amount>123.00</amount>
</accruedInterest>
</dividendPayment>
</dividendPayout>
<!--
<underlyerPrice>
<netPrice>
<currency>EUR</currency>
<amount>19785157.16</amount>
<priceExpression>AbsoluteTerms</priceExpression>
</netPrice>
<accruedInterestPrice>1234.56</accruedInterestPrice>
<quotationCharacteristics>
<side>Mid</side>
<currency>USD</currency>
<timing>Close</timing>
</quotationCharacteristics>
</underlyerPrice>
-->
<couponPayment>
<paymentDate>2004-01-01</paymentDate>
<amount>
<currency>USD</currency>
<amount>123456.00</amount>
</amount>
<accruedInterest>
<currency>USD</currency>
<amount>123.00</amount>
</accruedInterest>
</couponPayment>
</singleUnderlyer>
</underlyer>
<rateOfReturn>
<initialPrice>
<commission>
<commissionDenomination>BPS</commissionDenomination>
<commissionAmount>60</commissionAmount>
<commissionPerTrade>1234</commissionPerTrade>
</commission>
<netPrice>
<currency>USD</currency>
<amount>37.44</amount>
<priceExpression>AbsoluteTerms</priceExpression>
</netPrice>
</initialPrice>
<notionalReset>true</notionalReset>
<valuationPriceInterim>
<commission>
<commissionDenomination>BPS</commissionDenomination>
<commissionAmount>60</commissionAmount>
<commissionPerTrade>1234</commissionPerTrade>
</commission>
<determinationMethod>ValuationTime</determinationMethod>
<valuationRules>
<valuationDates id="trs-eq1-InterimValuationDate">
<adjustableDates>
<unadjustedDate>2004-10-12</unadjustedDate>
<unadjustedDate>2004-11-13</unadjustedDate>
<unadjustedDate>2004-12-12</unadjustedDate>
<unadjustedDate>2005-01-14</unadjustedDate>
<unadjustedDate>2005-02-12</unadjustedDate>
<unadjustedDate>2005-03-12</unadjustedDate>
<unadjustedDate>2005-04-12</unadjustedDate>
<unadjustedDate>2005-05-13</unadjustedDate>
<unadjustedDate>2005-06-12</unadjustedDate>
<unadjustedDate>2005-07-12</unadjustedDate>
<unadjustedDate>2005-08-12</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDates>
</valuationDates>
<valuationTimeType>Close</valuationTimeType>
</valuationRules>
</valuationPriceInterim>
<valuationPriceFinal>
<commission>
<commissionDenomination>BPS</commissionDenomination>
<commissionAmount>60</commissionAmount>
<commissionPerTrade>1234</commissionPerTrade>
</commission>
<determinationMethod>HedgeExecution</determinationMethod>
<valuationRules>
<valuationDate id="trs-eq1-FinalValuationDate">
<adjustableDate>
<unadjustedDate>2005-09-24</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</valuationDate>
</valuationRules>
</valuationPriceFinal>
<paymentDates id="trs-eq1-EquityPaymentDate">
<paymentDatesInterim id="trs-eq1-InterimEquityPaymentDate">
<adjustableDates>
<unadjustedDate>2004-10-14</unadjustedDate>
<unadjustedDate>2005-10-14</unadjustedDate>
<unadjustedDate>2006-10-14</unadjustedDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>EUTA</businessCenter>
<businessCenter>GBLO</businessCenter>
</businessCenters>
</dateAdjustments>
</adjustableDates>
</paymentDatesInterim>
<paymentDateFinal id="trs-eq1-FinalEquityPaymentDate">
<adjustableDate>
<unadjustedDate>2006-10-14</unadjustedDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>EUTA</businessCenter>
<businessCenter>GBLO</businessCenter>
</businessCenters>
</dateAdjustments>
</adjustableDate>
</paymentDateFinal>
</paymentDates>
</rateOfReturn>
<notional id="trs-eq1-EquityNotionalAmount">
<notionalAmount>
<currency>USD</currency>
<amount>28469376</amount>
</notionalAmount>
</notional>
<amount>
<currency id="trs-eq1-EquityPaymentCurrency">USD</currency>
<referenceAmount>ISDA Standard</referenceAmount>
<cashSettlement>true</cashSettlement>
</amount>
<return>
<returnType>Total</returnType>
<dividendConditions>
<dividendReinvestment>false</dividendReinvestment>
<dividendEntitlement>ExDate</dividendEntitlement>
<dividendAmount>RecordAmount</dividendAmount>
<dividendPaymentDate>
<dividendDateReference>EquityPaymentDate</dividendDateReference>
</dividendPaymentDate>
<dividendPeriodEffectiveDate href="trs-eq1-TradeDate" />
<dividendPeriodEndDate href="trs-eq1-TerminationDate" />
<extraOrdinaryDividends href="party1" />
<excessDividendAmount>RecordAmount</excessDividendAmount>
<determinationMethod>DividendCurrency</determinationMethod>
</dividendConditions>
</return>
<!--The notionalAdjustments element indicates that this is an execution-style swap -->
<notionalAdjustments>Execution</notionalAdjustments>
</returnLeg>
<interestLeg id="trs-eq1-interestLeg">
<legIdentifier>
<legId legIdScheme="http://www.partyA.com/leg-id">56789</legId>
</legIdentifier>
<payerPartyReference href="party2" />
<receiverPartyReference href="party1" />
<!--FpML 5-0: Removed-->
<!--paymentFrequency>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</paymentFrequency-->
<interestLegCalculationPeriodDates id="trs-eq1-InterestLegPeriodDates">
<effectiveDate>
<adjustableDate>
<unadjustedDate>2004-10-12</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</effectiveDate>
<terminationDate>
<adjustableDate>
<unadjustedDate>2004-10-12</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</terminationDate>
<interestLegResetDates>
<calculationPeriodDatesReference href="trs-eq1-InterestLegPeriodDates" />
<resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
</interestLegResetDates>
<interestLegPaymentDates>
<adjustableDates>
<unadjustedDate>2004-10-12</unadjustedDate>
<unadjustedDate>2005-10-12</unadjustedDate>
<unadjustedDate>2006-10-12</unadjustedDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>EUTA</businessCenter>
<businessCenter>GBLO</businessCenter>
</businessCenters>
</dateAdjustments>
</adjustableDates>
</interestLegPaymentDates>
</interestLegCalculationPeriodDates>
<notional>
<notionalAmount>
<currency>EUR</currency>
<amount>19785157.16</amount>
</notionalAmount>
</notional>
<interestAmount>
<currencyReference href="trs-eq1-EquityPaymentCurrency" />
<referenceAmount>Standard ISDA</referenceAmount>
</interestAmount>
<interestCalculation>
<floatingRateCalculation>
<floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex>
<indexTenor>
<periodMultiplier>1</periodMultiplier>
<period>M</period>
</indexTenor>
<spreadSchedule>
<initialValue>0.0020</initialValue>
</spreadSchedule>
</floatingRateCalculation>
<dayCountFraction>ACT/360</dayCountFraction>
</interestCalculation>
</interestLeg>
<earlyTermination>
<partyReference href="party1" />
<startingDate>
<adjustableDate>
<unadjustedDate>2005-10-12</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</startingDate>
</earlyTermination>
<earlyTermination>
<partyReference href="party2" />
<startingDate>
<adjustableDate>
<unadjustedDate>2005-10-12</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</startingDate>
</earlyTermination>
<extraordinaryEvents>
<mergerEvents>
<shareForShare>ModifiedCalculationAgent</shareForShare>
<shareForOther>ModifiedCalculationAgent</shareForOther>
<shareForCombined>ModifiedCalculationAgent</shareForCombined>
</mergerEvents>
<tenderOffer>true</tenderOffer>
<tenderOfferEvents>
<shareForShare>ModifiedCalculationAgent</shareForShare>
<shareForOther>ModifiedCalculationAgent</shareForOther>
<shareForCombined>ModifiedCalculationAgent</shareForCombined>
</tenderOfferEvents>
<compositionOfCombinedConsideration>true</compositionOfCombinedConsideration>
<additionalDisruptionEvents>
<changeInLaw>true</changeInLaw>
<failureToDeliver>true</failureToDeliver>
<insolvencyFiling>false</insolvencyFiling>
<hedgingDisruption>true</hedgingDisruption>
<lossOfStockBorrow>true</lossOfStockBorrow>
<increasedCostOfStockBorrow>false</increasedCostOfStockBorrow>
<increasedCostOfHedging>false</increasedCostOfHedging>
<determiningPartyReference href="party1" />
</additionalDisruptionEvents>
<representations>
<nonReliance>true</nonReliance>
<agreementsRegardingHedging>true</agreementsRegardingHedging>
<additionalAcknowledgements>true</additionalAcknowledgements>
</representations>
<nationalisationOrInsolvency>CancellationAndPayment</nationalisationOrInsolvency>
</extraordinaryEvents>
</returnSwap>
<!-- end of TRS product -->
<collateral>
<independentAmount>
<payerPartyReference href="party2" />
<receiverPartyReference href="party1" />
<paymentDetail>
<paymentDate>
<adjustableDate>
<unadjustedDate>2005-01-01</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</paymentDate>
<paymentAmount>
<currency>USD</currency>
<amount>1000</amount>
</paymentAmount>
</paymentDetail>
</independentAmount>
</collateral>
</trade>
<party id="party1">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442">QGPGHQ1ENZOOLJRFTH41</partyId>
<partyName>ABCD Securities Inc.</partyName>
</party>
<party id="party2">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442">J6W9XJWVE853A9CVRQ85</partyId>
<partyName>HedgeCo Capital L.L.C.</partyName>
</party>
</dataDocument>