|
WG,
Attached are the CFD DataDocument message shared by
Marc and an equivalent ContractCreated in FpML 4.6. As noted in the
minutes of the last conf call, FpML 4.2 does not have an @id attribute on
<contractDate>. The @id is needed in this CFD instance to define the
start of the dividend period as the trade date.
Please review and send your comments.
Fully-funded CFD samples would be welcome.
Thanks,
Lucio
From: im-custodian@xxxxxxxx [mailto:im-custodian@xxxxxxxx] On Behalf Of Marc Gratacos Sent: Wednesday, February 17, 2010 9:37 AM To: im-custodian@xxxxxxxx Cc: Sheridan, Michael Subject: RE: FpML-IM-Custodian CFD example Hi Mike,
What would be the additional confirmation
data fields needed for fully funded CFD's?
Thanks in advance,
Marc
From: im-custodian@xxxxxxxx [im-custodian@xxxxxxxx] On Behalf Of Dever, Michael J [mjdever@xxxxxxxxxxxxxxx] Sent: Wednesday, February 10, 2010 9:47 PM To: im-custodian@xxxxxxxx Cc: Sheridan, Michael Subject: RE: FpML-IM-Custodian CFD example This is good for least Margin CFD’s
Questions 1. CFD’s trade on Margin and Fully Funded. How does FpML plan to categorize the two different trading styles of CFD? a. Fully Funded acts more like an equity then a true ‘Margin’ Trading Security 2. In the valuation section do they have place holders for the total notional amount (local) and total notional amount settle? Michael
Dever The information contained in this email and any attachments have been classified as limited access and/or privileged State Street information/communication and is intended solely for the use of the named addressee(s). If you are not an intended recipient or a person responsible for delivery to an intended recipient, please notify the author and destroy this email. Any unauthorized copying, disclosure, retention or distribution of the material in this email is strictly forbidden From: im-custodian@xxxxxxxx [mailto:im-custodian@xxxxxxxx] On Behalf Of Marc Gratacos Sent: Thursday, January 28, 2010 1:08 PM To: eqdwg@xxxxxxxx Cc: im-custodian@xxxxxxxx Subject: FpML-IM-Custodian CFD example 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 The information contained in either this email and, if applicable, the attachment, are confidential and are intended only for the recipient. The contents of either the email or the attachment may not be disclosed or used by anyone other than the addressee. If you are not the intended recipient(s), any use, disclosure, copying, or distribution is prohibited and may be unlawful. If you have received this communication in error, please notify us by e-mail at isda@xxxxxxxx <mailto:isda@xxxxxxxx> then delete the e-mail and all attachments and any copies thereof. This communication is part of an ISDA process and is not intended for unauthorized use or distribution. The information contained in either this email and, if applicable, the attachment, are confidential and are intended only for the recipient. The contents of either the email or the attachment may not be disclosed or used by anyone other than the addressee. If you are not the intended recipient(s), any use, disclosure, copying, or distribution is prohibited and may be unlawful. If you have received this communication in error, please notify us by e-mail at isda@xxxxxxxx <mailto:isda@xxxxxxxx> then delete the e-mail and all attachments and any copies thereof. This communication is part of an ISDA process and is not intended for unauthorized use or distribution. THIS MESSAGE AND ANY ATTACHMENTS ARE CONFIDENTIAL, PROPRIETARY, AND MAY BE PRIVILEGED. If this message was misdirected, BlackRock, Inc. and its subsidiaries, ("BlackRock") does not waive any confidentiality or privilege. If you are not the intended recipient, please notify us immediately and destroy the message without disclosing its contents to anyone. Any distribution, use or copying of this e-mail or the information it contains by other than an intended recipient is unauthorized. The views and opinions expressed in this e-mail message are the author's own and may not reflect the views and opinions of BlackRock, unless the author is authorized by BlackRock to express such views or opinions on its behalf. All email sent to or from this address is subject to electronic storage and review by BlackRock. Although BlackRock operates anti-virus programs, it does not accept responsibility for any damage whatsoever caused by viruses being passed.
|
<?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><?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-4-6"; xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"; version="4-6" xsi:type="ContractCreated" xsi:schemaLocation="http://www.fpml.org/2009/FpML-4-6 C:/fpml/fpml-4-1-rec-1/xml/fpml-main-4-6.xsd">
<header>
<conversationId conversationIdScheme="http://www.imgr.com/schemes/conversation-id";>FUNDA-1719286</conversationId>
<messageId messageIdScheme="http://www.imgr.com/schemes/message-id";>FUNDA-1719286-20100127105622-730</messageId>
<sentBy>IMGRUS6S</sentBy>
<sendTo>CUSTUS3T</sendTo>
<creationTimestamp>2010-01-27T10:56:22.730-08:00</creationTimestamp>
</header>
<validation validationScheme="http://www.imgr.com/schemes/validation/product-type";>SPT</validation>
<contract>
<header>
<identifier>
<partyReference href="PRIMARY"/>
<versionedContractId>
<contractId contractIdScheme="http://www.primarybank.com/contract-id";>CFD123456789</contractId>
<version>1</version>
</versionedContractId>
<versionedContractId>
<contractId contractIdScheme="http://www.swift.com/coding-scheme/contract-id";>CFD-A1234</contractId>
<version>1</version>
</versionedContractId>
</identifier>
<identifier>
<partyReference href="CROSS"/>
<versionedContractId>
<contractId contractIdScheme="http://www.crossbank.com/contract-id";>CFD123456789</contractId>
<version>1</version>
</versionedContractId>
</identifier>
<contractDate id="TradeDate__CFD123456789">2009-09-30</contractDate>
</header>
<equitySwap>
<productType productTypeScheme="http://www.primarybank.com/productType";>EQCFD</productType>
<returnLeg 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>
<rateOfReturn>
<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>
<notionalReset>false</notionalReset>
<valuationPriceFinal>
<commission>
<commissionDenomination>BPS</commissionDenomination>
<commissionAmount>0.0</commissionAmount>
<currency>USD</currency>
</commission>
<determinationMethod>HedgeUnwind</determinationMethod>
<valuationRules>
<valuationDate id="FinalValuationDate__CFD123456789">
<adjustableDate>
<unadjustedDate>2019-10-01</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</valuationDate>
</valuationRules>
</valuationPriceFinal>
<paymentDates id="N10004">
<paymentDateFinal>
<adjustableDate>
<unadjustedDate>2019-10-01</unadjustedDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>US-USD</businessCenter>
</businessCenters>
</dateAdjustments>
</adjustableDate>
</paymentDateFinal>
</paymentDates>
</rateOfReturn>
<notional>
<notionalAmount>
<currency>USD</currency>
<amount>3840000.000000</amount>
</notionalAmount>
</notional>
<amount>
<paymentCurrency id="settlementCurrency">
<currency>USD</currency>
</paymentCurrency>
<referenceAmount>StandardISDA</referenceAmount>
<cashSettlement>true</cashSettlement>
</amount>
<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>
</returnLeg>
<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>
</contract>
<party id="PRIMARY">
<partyId>IMGRUS6S</partyId>
<partyName>Investment Manager</partyName>
<account id="BGIAACCT">
<accountId accountIdScheme="http://www.imgr.com/schemes/account-id";>0987654321</accountId>
</account>
</party>
<party id="CUST">
<partyId>CUSTUS3T</partyId>
<partyName>Custodian Bank</partyName>
<account id="CUSTACCT">
<accountId accountIdScheme="http://www.cust.com/schemes/account-id";>234567</accountId>
</account>
</party>
<party id="CROSS">
<partyId>CPTYHKHH</partyId>
</party>
</FpML>