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ISITC (http://www.isitc.org/) had some questions about the support of CFDs in FpML. Goldmans Sachs has been successfully using
the equity swap model to represent them internally. Shabbir Irfani kindly sent us an example. I updated it based on the current version of the schema. See attached. Let me know if there is any objection to publish this in the next release as part of the equity
swap examples.
Thanks and Regards,
Marc
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<?xml version="1.0" encoding="UTF-8"?><!--
== Copyright (c) 2002-2009. 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
-->
<FpML xmlns="http://www.fpml.org/2009/FpML-4-7"; xmlns:fpml="http://www.fpml.org/2009/FpML-4-7"; xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"; version="4-7" xsi:type="DataDocument" xsi:schemaLocation="http://www.fpml.org/2009/FpML-4-7 ../../schema/fpml-main.xsd http://www.w3.org/2000/09/xmldsig# ../../schema/xmldsig-core-schema.xsd">
<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="PRIMARY" />
<tradeId tradeIdScheme="http://www.primarybank.com/trade-id";>CFD123456789</tradeId>
</partyTradeIdentifier>
<partyTradeIdentifier>
<partyReference href="CROSS" />
<tradeId tradeIdScheme="http://www.crossbank.com/tradeId";>CFD123456789</tradeId>
</partyTradeIdentifier>
<tradeDate id="TradeDate__CFD123456789">2009-09-30</tradeDate>
</tradeHeader>
<equitySwap>
<productType productTypeScheme="http://www.primarybank.com/productType";>EQCFD</productType>
<equityLeg legIdentifier="EQ__CFD123456789">
<payerPartyReference href="PRIMARY" />
<receiverPartyReference href="CROSS" />
<effectiveDate id="EffectiveDate__CFD123456789">
<adjustableDate>
<unadjustedDate>2009-10-07</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</effectiveDate>
<terminationDate id="TerminationDate__CFD123456789">
<adjustableDate>
<unadjustedDate>2019-10-01</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</terminationDate>
<underlyer>
<singleUnderlyer>
<equity>
<instrumentId instrumentIdScheme="RIC">XYZ.N</instrumentId>
<exchangeId exchangeIdScheme="MARKET_ID">NYSE</exchangeId>
</equity>
<openUnits>48000</openUnits>
<dividendPayout>
<dividendPayoutRatio>1.0</dividendPayoutRatio>
</dividendPayout>
</singleUnderlyer>
</underlyer>
<valuation>
<initialPrice>
<commission>
<commissionDenomination>BPS</commissionDenomination>
<commissionAmount>0.0</commissionAmount>
<currency>USD</currency>
</commission>
<grossPrice>
<amount>80.000000</amount>
<priceExpression>PercentageOfNotional</priceExpression>
</grossPrice>
<netPrice>
<amount>80.000000</amount>
<priceExpression>PercentageOfNotional</priceExpression>
</netPrice>
<fxConversion>
<fxRate>
<quotedCurrencyPair>
<currency1>USD</currency1>
<currency2>USD</currency2>
<quoteBasis>Currency1PerCurrency2</quoteBasis>
</quotedCurrencyPair>
<rate>1.0</rate>
</fxRate>
</fxConversion>
</initialPrice>
<equityNotionalReset>false</equityNotionalReset>
<valuationPriceFinal>
<commission>
<commissionDenomination>BPS</commissionDenomination>
<commissionAmount>0.0</commissionAmount>
<currency>USD</currency>
</commission>
<determinationMethod>HedgeUnwind</determinationMethod>
<equityValuation>
<valuationDate id="FinalValuationDate__CFD123456789">
<adjustableDate>
<unadjustedDate>2019-10-01</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</valuationDate>
</equityValuation>
</valuationPriceFinal>
<equityPaymentDates id="N10004">
<equityPaymentDateFinal>
<adjustableDate>
<unadjustedDate>2019-10-01</unadjustedDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>US-USD</businessCenter>
</businessCenters>
</dateAdjustments>
</adjustableDate>
</equityPaymentDateFinal>
</equityPaymentDates>
</valuation>
<notional>
<notionalAmount>
<currency>USD</currency>
<amount>3840000.000000</amount>
</notionalAmount>
</notional>
<equityAmount>
<paymentCurrency id="settlementCurrency">
<currency>USD</currency>
</paymentCurrency>
<referenceAmount>StandardISDA</referenceAmount>
<cashSettlement>true</cashSettlement>
</equityAmount>
<return>
<returnType>Total</returnType>
<dividendConditions>
<dividendReinvestment>false</dividendReinvestment>
<dividendEntitlement>ExDate</dividendEntitlement>
<dividendPaymentDate>
<dividendDateReference>AdHocDate</dividendDateReference>
</dividendPaymentDate>
<dividendPeriodEffectiveDate href="TradeDate__CFD123456789"/>
<dividendPeriodEndDate href="FinalValuationDate__CFD123456789"/>
<paymentCurrency>
<currency>USD</currency>
</paymentCurrency>
<dividendFxTriggerDate>
<dividendDateReference>ExDate</dividendDateReference>
</dividendFxTriggerDate>
</dividendConditions>
</return>
<notionalAdjustments>Standard</notionalAdjustments>
<fxFeature>
<referenceCurrency id="ReferenceCurrency">USD</referenceCurrency>
<crossCurrency/>
</fxFeature>
</equityLeg>
<interestLeg legIdentifier="FI__CFD123456789">
<payerPartyReference href="CROSS" />
<receiverPartyReference href="PRIMARY" />
<interestLegCalculationPeriodDates id="InterestLegPeriodDates-1">
<effectiveDate>
<adjustableDate>
<unadjustedDate>2009-10-07</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</effectiveDate>
<terminationDate>
<adjustableDate>
<unadjustedDate>2019-10-01</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</terminationDate>
<interestLegResetDates>
<calculationPeriodDatesReference href="InterestLegPeriodDates-1" />
<resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
</interestLegResetDates>
<interestLegPaymentDates>
<adjustableDates>
<unadjustedDate>2019-10-01</unadjustedDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>ZA-JNBE</businessCenter>
</businessCenters>
</dateAdjustments>
</adjustableDates>
</interestLegPaymentDates>
</interestLegCalculationPeriodDates>
<notional>
<notionalAmount>
<currency>USD</currency>
<amount>3840000.000000</amount>
</notionalAmount>
</notional>
<interestAmount>
<paymentCurrency>
<currency>USD</currency>
</paymentCurrency>
<referenceAmount>ISDA Standard</referenceAmount>
</interestAmount>
<interestCalculation>
<floatingRateCalculation>
<floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex>
<indexTenor>
<periodMultiplier>1</periodMultiplier>
<period>M</period>
</indexTenor>
<spreadSchedule>
<initialValue>125.0</initialValue>
</spreadSchedule>
</floatingRateCalculation>
<dayCountFraction>ACT/360</dayCountFraction>
</interestCalculation>
</interestLeg>
</equitySwap>
<documentation>
<masterAgreement>
<masterAgreementType>ISDA</masterAgreementType>
</masterAgreement>
</documentation>
</trade>
<party id="PRIMARY">
<partyId>0987654321</partyId>
</party>
<party id="CROSS">
<partyId>1234567890</partyId>
</party>
</FpML>