interchange-schema-registry
Version:
A Global Schema Registry for Data Interchange formats
409 lines (408 loc) • 17.1 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-eqbasket-trade">
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="party1" />
<tradeId tradeIdScheme="http://www.abc.com/swaps/trade-id">TRS-02</tradeId>
</partyTradeIdentifier>
<partyTradeIdentifier>
<partyReference href="party2" />
<tradeId tradeIdScheme="http://www.hedgeco.com/swaps/trade-id">total-ret-swap-02</tradeId>
</partyTradeIdentifier>
<tradeDate id="r13">2004-12-12</tradeDate>
</tradeHeader>
<returnSwap>
<productType>TotalReturnSwap</productType>
<buyerPartyReference href="party2" />
<sellerPartyReference href="party1" />
<returnLeg id="r1">
<legIdentifier>
<legId legIdScheme="http://www.abc.com/legIdScheme">r1</legId>
</legIdentifier>
<payerPartyReference href="party2" />
<receiverPartyReference href="party1" />
<!--paymentFrequency>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</paymentFrequency-->
<effectiveDate id="r2">
<adjustableDate>
<unadjustedDate>2004-12-14</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</effectiveDate>
<terminationDate id="r3">
<adjustableDate>
<unadjustedDate>2004-12-14</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</terminationDate>
<underlyer>
<basket>
<openUnits>1</openUnits>
<basketConstituent id="r4">
<equity>
<instrumentId instrumentIdScheme="http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0">ISIN_XXXX</instrumentId>
<description>Telecom Italia spa</description>
<currency>EUR</currency>
<exchangeId exchangeIdScheme="http://www.fpml.org/schemes/4-1/exchangeId">XMIL</exchangeId>
</equity>
<constituentWeight>
<openUnits>432000</openUnits>
</constituentWeight>
<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>
</basketConstituent>
<basketConstituent id="r5">
<equity>
<instrumentId instrumentIdScheme="http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0">ISIN_YYYY</instrumentId>
<description>Nokya Oyj</description>
<currency>EUR</currency>
<exchangeId exchangeIdScheme="http://www.fpml.org/schemes/4-1/exchangeId">XHEL</exchangeId>
</equity>
<constituentWeight>
<openUnits>227000</openUnits>
</constituentWeight>
<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>
</basketConstituent>
</basket>
</underlyer>
<rateOfReturn>
<initialPrice>
<commission>
<commissionDenomination>BPS</commissionDenomination>
<commissionAmount>60</commissionAmount>
<commissionPerTrade>1234</commissionPerTrade>
</commission>
<netPrice>
<currency>EUR</currency>
<amount>19785157.16</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="r6">
<adjustableDates>
<unadjustedDate>2004-12-17</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="r7">
<adjustableDate>
<unadjustedDate>2006-01-17</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</valuationDate>
</valuationRules>
</valuationPriceFinal>
<paymentDates id="r10">
<paymentDatesInterim id="r11">
<adjustableDates>
<unadjustedDate>2004-12-14</unadjustedDate>
<unadjustedDate>2005-12-14</unadjustedDate>
<unadjustedDate>2006-12-14</unadjustedDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<!--shared-21:Each businessCenter must be unique. -->
<businessCenter>EUTA</businessCenter>
<!--shared-21: Changed thebusinessCenter from (GBLO) to not being unique. -->
<businessCenter>EUTA</businessCenter>
</businessCenters>
</dateAdjustments>
</adjustableDates>
</paymentDatesInterim>
<paymentDateFinal id="r12">
<adjustableDate>
<unadjustedDate>2006-12-14</unadjustedDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>EUTA</businessCenter>
<businessCenter>GBLO</businessCenter>
</businessCenters>
</dateAdjustments>
</adjustableDate>
</paymentDateFinal>
</paymentDates>
</rateOfReturn>
<notional id="r8">
<notionalAmount>
<currency>EUR</currency>
<amount>19785157.16</amount>
</notionalAmount>
</notional>
<amount>
<currency id="r9">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="r13" />
<dividendPeriodEndDate href="r7" />
<excessDividendAmount>PaidAmount</excessDividendAmount>
<currencyReference href="r15" />
</dividendConditions>
</return>
<notionalAdjustments>Execution</notionalAdjustments>
<fxFeature>
<referenceCurrency id="r15">EUR</referenceCurrency>
<composite>
<determinationMethod>CalculationAgent</determinationMethod>
</composite>
</fxFeature>
</returnLeg>
<interestLeg id="r16">
<legIdentifier>
<legId legIdScheme="http://www.abc.com/legIdScheme">r16</legId>
</legIdentifier>
<payerPartyReference href="party1" />
<receiverPartyReference href="party2" />
<!--paymentFrequency>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</paymentFrequency-->
<interestLegCalculationPeriodDates id="r120">
<effectiveDate>
<adjustableDate>
<unadjustedDate>2004-12-14</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</effectiveDate>
<terminationDate>
<adjustableDate>
<unadjustedDate>2006-12-14</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</terminationDate>
<interestLegResetDates>
<calculationPeriodDatesReference href="r120" />
<resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
</interestLegResetDates>
<interestLegPaymentDates>
<adjustableDates>
<unadjustedDate>2004-12-14</unadjustedDate>
<unadjustedDate>2005-12-14</unadjustedDate>
<unadjustedDate>2006-12-14</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="r15" />
<referenceAmount>Standard ISDA</referenceAmount>
</interestAmount>
<interestCalculation>
<floatingRateCalculation>
<floatingRateIndex>EUR-EURIBOR-Telerate</floatingRateIndex>
<indexTenor>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</indexTenor>
<spreadSchedule>
<initialValue>0.0050</initialValue>
</spreadSchedule>
</floatingRateCalculation>
<dayCountFraction>ACT/360</dayCountFraction>
</interestCalculation>
</interestLeg>
<earlyTermination>
<partyReference href="party2" />
<startingDate>
<adjustableDate>
<unadjustedDate>2004-12-14</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</startingDate>
</earlyTermination>
<earlyTermination>
<partyReference href="party1" />
<startingDate>
<adjustableDate>
<unadjustedDate>2004-12-14</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="party2" />
</additionalDisruptionEvents>
<representations>
<nonReliance>true</nonReliance>
<agreementsRegardingHedging>true</agreementsRegardingHedging>
<additionalAcknowledgements>true</additionalAcknowledgements>
</representations>
<nationalisationOrInsolvency>CancellationAndPayment</nationalisationOrInsolvency>
</extraordinaryEvents>
</returnSwap>
<collateral>
<independentAmount>
<payerPartyReference href="party2" />
<receiverPartyReference href="party1" />
<paymentDetail>
<paymentDate>
<adjustableDate>
<unadjustedDate>2004-01-01</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>