11 DIVIDEND PRODUCT ARCHITECTURE

11.1 Dividend Derivatives Scope

The Equity Derivative Working Group extended FpML to cover:

11.2 Overall Architecture

Dividend Swaps (Transaction Supplement form) and Dividend Swap Options (Transaction Supplement form) are modelled as two distinct product elements in FpML: dividendSwapTransactionSupplement and dividendSwapOptionTransactionSupplement.

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11.2.1 dividendSwapTransactionSupplement

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  • productType - A classification of the type of product. FpML defines a simple product categorization using a coding scheme.
  • productId - A product reference identifier allocated by a party. FpML does not define the domain values associated with this element. Note that the domain values for this element are not strictly an enumerated list..
  • additionalPayment - Specifies additional payment(s) between the principal parties to the netted swap.
  • extraordinaryEvents - Where the underlying is shares, defines market events affecting the issuer of those shares that may require the terms of the transaction to be adjusted.
  • dividendLeg - Dividend leg.
  • fixedLeg - Fixed payment leg.

11.2.2 dividendLeg

dividendLeg - Floating Payment Leg of a Dividend Swap.

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11.2.3 fixedLeg

fixedLeg - Fixed Payment Leg of a Dividend Swap.

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11.2.4 dividendSwapTransactionSupplementOption

An Option on a Dividend Swap Transaction Supplement.

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  • productType - A classification of the type of product. FpML defines a simple product categorization using a coding scheme.
  • productId - A product reference identifier allocated by a party. FpML does not define the domain values associated with this element. Note that the domain values for this element are not strictly an enumerated list..
  • buyerPartyReference - A reference to the party that buys this instrument, ie. pays for this instrument and receives the rights defined by it. See 2000 ISDA definitions Article 11.1 (b). In the case of FRAs this the fixed rate payer.
  • sellerPartyReference - A reference to the party that sells ("writes") this instrument, i.e. that grants the rights defined by this instrument and in return receives a payment for it. See 2000 ISDA definitions Article 11.1 (a). In the case of FRAs this is the floating rate payer.
  • optionType - The type of option transaction. From a usage standpoint, put/call is the default option type, while payer/receiver indicator is used for options index credit default swaps, consistently with the industry practice. Straddle is used for the case of straddle strategy, that combine a call and a put with the same strike.
  • premium - The option premium payable by the buyer to the seller.
  • exercise - An placeholder for the actual option exercise definitions.
  • exerciseProcedure - A set of parameters defining procedures associated with the exercise.
  • feature - An Option feature such as quanto, asian, barrier, knock.
  • notionalReference - A reference to the notional amount.
  • notionalAmount - Notional amount
  • optionEntitlement - The number of units of underlyer per option comprised in the option transaction.
  • entitlementCurrency - TODO
  • numberOfOptions - The number of options comprised in the option transaction.
  • settlementType - Shows how the transaction is to be settled when it is exercised.
  • settlementDate - (AdjustableOrRelativeDateA type giving the choice between defining a date as an explicit date together with applicable adjustments or as relative to some other (anchor) date.
  • settlementAmount
  • settlementCurrency - Settlement Currency for use where the Settlement Amount cannot be known in advance.
  • strike - Strike of the the Correlation Swap Option.
  • dividendSwapTransactionSupplement
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