interchange-schema-registry
Version:
A Global Schema Registry for Data Interchange formats
265 lines (264 loc) • 11.3 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 id="trs-ex4-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>2011-03-23</tradeDate>
</tradeHeader>
<returnSwap>
<productType>Equity:Swap:PriceReturnBasicPerformance:SingleIndex</productType>
<buyerPartyReference href="party1" />
<sellerPartyReference href="party2" />
<returnLeg>
<payerPartyReference href="party1" />
<receiverPartyReference href="party2" />
<effectiveDate>
<adjustableDate>
<unadjustedDate>2010-05-12</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</effectiveDate>
<terminationDate>
<adjustableDate>
<unadjustedDate>2038-01-12</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</terminationDate>
<underlyer>
<singleUnderlyer>
<index>
<instrumentId instrumentIdScheme="http://www.fpml.org/spec/2003/entity-name-RED">IOS.FN30.650.67</instrumentId>
<instrumentId instrumentIdScheme="http://www.fpml.org/spec/2003/instrument-id-RED-pair">4A845HAA3</instrumentId>
</index>
</singleUnderlyer>
</underlyer>
<rateOfReturn>
<initialPrice>
<determinationMethod>ValuationTime</determinationMethod>
<valuationRules>
<valuationDate id="initialValuationDate">
<adjustableDate>
<unadjustedDate>2010-05-12</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</valuationDate>
</valuationRules>
</initialPrice>
<valuationPriceInterim>
<determinationMethod>ValuationTime</determinationMethod>
<valuationRules>
<valuationDates id="interimValuationDates">
<periodicDates>
<calculationStartDate>
<adjustableDate>
<unadjustedDate>2010-06-12</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</calculationStartDate>
<calculationEndDate>
<adjustableDate>
<unadjustedDate>2037-12-12</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</calculationEndDate>
<calculationPeriodFrequency>
<periodMultiplier>1</periodMultiplier>
<period>M</period>
<rollConvention>12</rollConvention>
</calculationPeriodFrequency>
<calculationPeriodDatesAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</calculationPeriodDatesAdjustments>
</periodicDates>
</valuationDates>
</valuationRules>
</valuationPriceInterim>
<valuationPriceFinal>
<determinationMethod>ValuationTime</determinationMethod>
<valuationRules>
<valuationDate id="finalValuationDate">
<adjustableDate>
<unadjustedDate>2038-01-12</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</valuationDate>
</valuationRules>
</valuationPriceFinal>
<paymentDates id="returnPaymentDates">
<paymentDatesInterim>
<relativeDates>
<periodMultiplier>3</periodMultiplier>
<period>D</period>
<dayType>Business</dayType>
<businessDayConvention>NONE</businessDayConvention>
<businessCenters>
<businessCenter id="returnBusinessCenter">USNY</businessCenter>
</businessCenters>
<dateRelativeTo href="interimValuationDates" />
</relativeDates>
</paymentDatesInterim>
<paymentDateFinal>
<relativeDate>
<periodMultiplier>3</periodMultiplier>
<period>D</period>
<dayType>Business</dayType>
<businessDayConvention>NONE</businessDayConvention>
<businessCentersReference href="returnBusinessCenter" />
<dateRelativeTo href="finalValuationDate" />
</relativeDate>
</paymentDateFinal>
</paymentDates>
</rateOfReturn>
<notional id="returnNotional">
<notionalAmount>
<currency>USD</currency>
<amount>31000000</amount>
</notionalAmount>
</notional>
<amount>
<referenceAmount>ISDA Standard</referenceAmount>
<cashSettlement>true</cashSettlement>
</amount>
<return>
<returnType>Total</returnType>
</return>
<notionalAdjustments>Standard</notionalAdjustments>
</returnLeg>
<interestLeg>
<payerPartyReference href="party2" />
<receiverPartyReference href="party1" />
<interestLegCalculationPeriodDates id="interestCalculationDates">
<effectiveDate>
<relativeDate>
<periodMultiplier>0</periodMultiplier>
<period>D</period>
<businessDayConvention>NotApplicable</businessDayConvention>
<dateRelativeTo href="initialValuationDate" />
</relativeDate>
</effectiveDate>
<terminationDate>
<relativeDate>
<periodMultiplier>0</periodMultiplier>
<period>D</period>
<businessDayConvention>NotApplicable</businessDayConvention>
<dateRelativeTo href="finalValuationDate" />
</relativeDate>
</terminationDate>
<interestLegResetDates>
<calculationPeriodDatesReference href="interimValuationDates" />
<resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
</interestLegResetDates>
<interestLegPaymentDates>
<relativeDates>
<periodMultiplier>0</periodMultiplier>
<period>D</period>
<businessDayConvention>NotApplicable</businessDayConvention>
<dateRelativeTo href="returnPaymentDates" />
</relativeDates>
</interestLegPaymentDates>
</interestLegCalculationPeriodDates>
<notional>
<relativeNotionalAmount href="returnNotional" />
</notional>
<interestAmount>
<referenceAmount>Standard ISDA</referenceAmount>
<calculationDates>
<relativeDateSequence>
<dateRelativeTo href="interestCalculationDates" />
<dateOffset>
<periodMultiplier>0</periodMultiplier>
<period>D</period>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateOffset>
</relativeDateSequence>
</calculationDates>
</interestAmount>
<interestCalculation>
<fixedRate>0.065</fixedRate>
<dayCountFraction>30/360</dayCountFraction>
</interestCalculation>
</interestLeg>
<additionalPayment>
<payerPartyReference href="party1" />
<receiverPartyReference href="party2" />
<additionalPaymentAmount>
<paymentAmount>
<currency>USD</currency>
<amount>26800.62</amount>
</paymentAmount>
<formula>
<formulaDescription>Upfront Price * Commencing Factor * Notional</formulaDescription>
<formulaComponent name="UpfrontPrice">
<componentDescription>(Coupon * Day Count (30/360)) - (LIBOR * Commencing Index Price * Day Count (ACT/360)) + (Traded Price - Commencing Index Price)</componentDescription>
<formula>
<formulaDescription>0.00259535084</formulaDescription>
</formula>
</formulaComponent>
<formulaComponent name="CommencingFactor">
<componentDescription>Index Factor at start of period</componentDescription>
<formula>
<formulaDescription>0.333109517</formulaDescription>
</formula>
</formulaComponent>
<formulaComponent name="Notional">
<componentDescription>Notional</componentDescription>
<formula>
<formulaDescription>31000000.00</formulaDescription>
</formula>
</formulaComponent>
</formula>
</additionalPaymentAmount>
<additionalPaymentDate>
<adjustableDate>
<unadjustedDate>2011-03-28</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</additionalPaymentDate>
<paymentType>UPFRONT_FEE</paymentType>
</additionalPayment>
</returnSwap>
<!-- end of TRS product -->
</trade>
<party id="party1">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442">QGPGHQ1ENZOOLJRFTH41</partyId>
<partyName>ABCD Fund</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>