FpML® Financial product Markup Language Recommendation 26 August 2014 (Confirmation View)

Version: 5.7

This version: http://www.fpml.org/spec/fpml-5-7-6-rec-2

Latest version: http://www.fpml.org/spec/fpml-5-7-6-rec-2

Previous version: http://www.fpml.org/spec/fpml-5-7-5-rec-1/

Errata for this version: http://www.fpml.org/spec/fpml-5-7-6-rec-2/html/confirmation/fpml-5-7-errata.html

Build Number: 6; Document built: Thu 08/21/2014 14:38:18.23

Copyright (c) 1999 - 2014 by International Swaps and Derivatives Association, Inc.

Financial Products Markup Language is subject to the FpML® Public License.

FpML® is a registered trademark of the International Swaps and Derivatives Association, Inc.

A copy of this license is available at http://www.fpml.org/license/license.html



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Table Of Contents

    1 Business Process Examples
        1.1 Introduction
        1.2 Allocations
             1.2.1 Example 20 - Short-Form Allocation of a Credit Default Swap
             1.2.2 Example 24 - Allocation Cancelled
             1.2.3 Example 25 - Request Allocation
             1.2.4 Example 26 - Short-Form Allocation of a Credit Default Swap (multiple allocation trade identifiers)
        1.3 Confirmation
             1.3.1 Example 5 - Equity Cash Share Request Confirmation
             1.3.2 Example 6 - Equity Index Option Request Confirmation
             1.3.3 Example 7 - Equity Physical Share Request Confirmation
             1.3.4 Example 12 - Credit Default Swap Request Increase Termination
             1.3.5 Example 13 - Credit Default Swap Full Termination Confirmation
             1.3.6 Example 14 - Credit Default Swap Partial Termination Confirmation
             1.3.7 Example 15 - Credit Default Swap Request Amendment Confirmation
             1.3.8 Example 17 - Two sided swap with multiple roles and accounts
             1.3.9 Example 18 - Credit Default Swap Short Form US Corporate with broker role
             1.3.10 Example 26 - Alleged Novation
        1.4 Consent
             1.4.1 Example 4 - Equity Option Increase
             1.4.2 Example 8 - Equity Option Partial Termination
             1.4.3 Example 9 - Equity Option Termination
             1.4.4 Example 10 - Equity Swap Partial Termination
             1.4.5 Example 11 - Equity Swap Full Termination
             1.4.6 Example 27 - Request Novation Consent
             1.4.7 Example 100 - Request Clearing Consent, with quote
             1.4.8 Example 200 - Request Clearing Consent
             1.4.9 Example 201 - Grant Clearing Consent
             1.4.10 Example 300 - Request Clearing Consent on a Porfolio
             1.4.11 Example 301 - Request Clearing Consent on a Porfolio
             1.4.12 Example 302 - Grant Clearing Consent on a Portfolio
             1.4.13 Example 303 - Grant Clearing Consent on Constituent of a Portfolio
             1.4.14 Example 400 - Request Consent (with approval information)
             1.4.15 Example 401 - Approval Status Notification
        1.5 Execution Advice
             1.5.1 Example 51 - Execution Advice of CDS Trade Initiation (C01-00)
             1.5.2 Example 52 - Execution Advice of CDS Trade Partial Novation (C02-00)
             1.5.3 Example 53 - Execution Advice of CDS Trade Partial Novation Correction (C02-10)
             1.5.4 Example 54 - Execution Advice of CDS Trade Partial Termination (C11-00)
             1.5.5 Example 55 - Execution Advice of CDS Trade Partial Termination Cancellation (C11-10)
             1.5.6 Example 56 - Execution Advice of CDS Trade Full Termination (C12-00)
             1.5.7 Example 57 - Execution Advice of CDS Trade Full Termination Correction (C12-20)
             1.5.8 Example 58 - Execution Advice of CDS Trade Initiation (F01-00).xml
             1.5.9 Example 59 - Execution Advice of CDS Trade Amendment (F02-00)
             1.5.10 Example 60 - Execution Advice of CDS Trade Amendment Correction (F02-10)
             1.5.11 Example 61 - Execution Advice of CDS Trade Change (F03-00)
             1.5.12 Example 62 - Execution Advice of CDS Trade Change Correction (F03-10)
             1.5.13 Example 63 - Execution Advice of IRD Trade Initiation.xml
             1.5.14 Example 64 - Execution Advice of IRD Trade Initiation Correction
             1.5.15 Example 65 - Execution Advice of IRD Trade Partial Termination
             1.5.16 Example 66 - Execution Advice of IRD Trade Full Termination
             1.5.17 Example 67 - Execution Advice of IRD Trade Full Termination Correction
        1.6 Execution Notification
             1.6.1 Example 19 - Long-Form Allocation of a Credit Default Swap
             1.6.2 Example 22 - Allocation Created
             1.6.3 Example 23 - Allocation Amendment
             1.6.4 Example 24 - Trade Package
             1.6.5 Example 90 - Trade Execution Date Time
        1.7 Trade Information Update
             1.7.1 Example 01 - Request Trade Information Update
        1.8 Option Exercise / Expiry
             1.8.1 Example 01 - Option Expiration Notification
             1.8.2 Example 02a - Request to exercise options
             1.8.3 Example 02b - Request NOT to exercise options
             1.8.4 Example 03a - Execution notification that options were exercised (cash)
             1.8.5 Example 3a - Execution notification that options were exercised (physical)
             1.8.6 Example 3a - Execution notification that options were exercised (physical / security underlyer)
             1.8.7 Example 3b - Request confirmation (physical)
             1.8.8 Example 04 - Execution advice that options were exercised
             1.8.9 Example 05 - Execution exception
             1.8.10 Example 06 - Maturity notification (option expired)
             1.8.11 Example 07 - Maturity notification (trade matured)
             1.8.12 Example A - Request Confirmation of OTC Equity Option
             1.8.13 Example B - Option Expiration Notification
             1.8.14 Example C - Request Execution of Equity Options
             1.8.15 Example D - Execution Notification of Equity Option Exercise
             1.8.16 Example M - Confirm Bond Option
             1.8.17 Example N - Expiring Bond Option
             1.8.18 Example O - Request exercise OTC Bond Option
             1.8.19 Example P - Exercise Notification New Trade for OTC bond option
             1.8.20 Example X - Exercise Notification of FX option
             1.8.21 Example Y - Exercise Notification of a swaption
             1.8.22 Example 08 - Option Expiration Notification
             1.8.23 Example 130 - Request Execution of an Option (Straddle)
             1.8.24 Example 131 - Execution notification that options were exercised (physical)
        1.9 Clearing
             1.9.1 Example 01 - Clearing Status Notification
             1.9.2 Example 02 - Request to de-clear
             1.9.3 Example 03 - Clearing Confirmed (de-clear)
             1.9.4 Example 04 - Clearing Confirmed (de-clear)
             1.9.5 Example 05 - Clearing Confirmed (trade terminated due to netting)
             1.9.6 Example 06 - Clearing Confirmed (trade created due to netting)
             1.9.7 Example 07 - Clearing Requested (from SEF)
             1.9.8 Example 08 - Clearing Status (to SEF)
             1.9.9 Example 09 - Clearing Status (to broker)
             1.9.10 Example 10 - Clearing Confirmed (full clearing report)
             1.9.11 Example 11 - Clearing Confirmed (trade created as a result of netting and part of a portfolio)
             1.9.12 Example 12 - Clearing Confirmed (trade created as a result of netting and part of a portfolio)
             1.9.13 Example 20 - Clearing Requested (with approved allocations)
             1.9.14 Example 50 - Request Clearing (Package Transactions)
             1.9.15 Example 51 - Clearing Confirmed (to SEF) (Package Transactions)
             1.9.16 Example 100 - Request Clearing Eligibility
             1.9.17 Example 101 - Clearing Eligibility (Status)
        1.10 Package Transactions
             1.10.1 Execution and Clearing
             1.10.2 Package Transactions Example 1 - Execution Notification
             1.10.3 Package Transactions Example 2 - Execution Notification
             1.10.4 Package Transactions Example 55 - Execution Notification
             1.10.5 Package Transactions Example 60 - Request Clearing
             1.10.6 Package Transactions Example 61 - Clearing Confirmed
    2 Interest Rate Derivative Examples
        2.1 Introduction
        2.2 Example 1 - Fixed/Floating Single Currency Interest Rate Swap
        2.3 Example 2 - Fixed/Floating Single Currency Interest Rate Swap with Initial Stub Period and Notional Amortization
        2.4 Example 3 - Fixed/Floating Single Currency Interest Rate Swap with Compounding, Payment Delay and Final Rate Rounding
        2.5 Example 4 - Fixed/Floating Single Currency Interest Rate Swap with Arrears Reset, Step-Up Coupon and Upfront Fee
        2.6 Example 5 - Fixed/Floating Single Currency Interest Rate Swap with Long Initial Stub and Short Final Stub
        2.7 Example 6 - Fixed/Floating Cross Currency Interest Rate Swap
        2.8 Example 7 - Fixed/Floating Overnight Interest Rate Swap (OIS)
        2.9 Example 8 - Forward Rate Agreement
        2.10 Example 9 - European Swaption, Physical Settlement, Explicit Underlying Effective Date
        2.11 Example 10 - European Swaption, Physical Settlement, Relative Underlying Effective Date
        2.12 Example 11 - European Swaption, Physical Settlement, Partial Exercise, Automatic Exercise
        2.13 Example 12 - European Swaption, Cash Settlement, Swaption Straddle
        2.14 Example 13 - European Swaption, Cash Settled, cashflows included
        2.15 Example 14 - Bermuda Swaption, Physical Settlement.
        2.16 Example 15 - American Swaption, Physical Settlement.
        2.17 Example 16 - Fixed/Floating Single Currency IRS With Mandatory Early Termination.
        2.18 Example 17 - Fixed/Floating Single Currency IRS With European Style Optional Early Termination.
        2.19 Example 18 - Fixed/Floating Single Currency IRS With Bermuda Style Optional Early Termination, Cashflows + optionalEarlyTerminationAdjustedDates.
        2.20 Example 19 - Fixed/Floating Single Currency IRS With American Style Optional Early Termination.
        2.21 Example 20 - Fixed/Floating Single Currency IRS With European Cancelable Provision.
        2.22 Example 21 - Fixed/Floating Single Currency IRS With European Extendible Provision.
        2.23 Example 22 - Interest Rate Cap
        2.24 Example 23 - Interest Rate Floor
        2.25 Example 24 - Interest Rate Collar
        2.26 Example 25 - Fixed/Floating IRS Where The Floating Stream Notional Is Reset Based On Prevailing Spot Exchange Rate
        2.27 Example 26 - Fixed/Floating IRS Where The Floating Stream Notional Is Reset Based On Prevailing Spot Exchange Rate - Cashflows.
        2.28 Example 27 - Inverse Floater
        2.29 Example 28 - Bullet Payments
        2.30 Example 29 - Swap with Non-Deliverable Settlement Provision
        2.31 Example 30 - Compounding and Averaging Swap with Relative Dates
        2.32 Example 31 - Swap with Non-Deliverable Settlement Provision
        2.33 Example 32 - Zero Coupon Swap
        2.34 Example 33 - Brazilian Interest Rate Swap
        2.35 Example 34 - Mexican Interest Rate Swap
        2.36 Example 35 - Inverse Floater vs. Floating
    3 Inflation Swaps Examples
        3.1 Introduction
        3.2 Example 1 - Year-on-Year
        3.3 Example 2 - Year-on-Year with Bond Reference
        3.4 Example 3 - Year-on-Year Initial Level
        3.5 Example 4 - Year-on-Year with Interpolation
        3.6 Example 5 - Zero-Coupon
    4 Credit Derivative Examples
        4.1 Credit Default Swap
             4.1.1 Example 1 - Asian Corporate, Long Form, Fixed Regular Payment Schedule
             4.1.2 Example 2 - Asian Corporate, Short Form, Fixed Regular Payment Schedule
             4.1.3 Example 3 - Australian Corporate, Long Form, Fixed Regular Payment Schedule
             4.1.4 Example 4 - Australian Corporate, Short Form, Fixed Regular Payment Schedule
             4.1.5 Example 5 - Emerging Markets Asian Corporate, Long Form, Fixed Regular Payment Schedule
             4.1.6 Example 6 - Emerging Markets European Sovereign, Long Form, Fixed Regular Payment Schedule
             4.1.7 Example 7 - European Corporate, Long Form, Fixed Regular Payment Schedule
             4.1.8 Example 8 - European Corporate, Short Form, Fixed Regular Payment Schedule
             4.1.9 Example 9 - European Sovereign, Long Form, Fixed Regular Payment Schedule
             4.1.10 Example 10 - US Corporate, Long Form, Fixed Regular Payment Schedule
             4.1.11 Example 11 - US Corporate, Short Form, Fixed Regular Payment Schedule
             4.1.12 Example 12 - Emerging Markets Asian Sovereign, Long Form, Fixed Regular Payment Schedule
             4.1.13 Example 13 - Asia Sovereign, Long Form, Fixed Regular Payment Schedule
             4.1.14 Example 14 - Emerging Markets Latin American Corporate, Long Form, Fixed Regular Payment Schedule
             4.1.15 Example 15 - Emerging Markets Latin American Sovereign, Long Form, Fixed Regular Payment Schedule
             4.1.16 Example 16 - US Corporate, Short Form, Fixed Regular Payment Schedule, Recovery Factor
             4.1.17 Example 17 - US Corporate, Short Form, Fixed Regular Payment Schedule, Portfolio Compression
             4.1.18 Example 18 - Standard North American Corporate
        4.2 Credit Default Swap Index
             4.2.1 Example 1 - CDX Example
             4.2.2 Example 2 - iTraxx Example
             4.2.3 Example 3 - iTraxx Contractual Supplement Example
             4.2.4 Example 4 - CDS Index Tranche
        4.3 Credit Default Swap Basket
             4.3.1 Example 1 - CDS Basket
             4.3.2 Example 2 - CDS Custom Basket
             4.3.3 Example 3 - CDS Basket Tranche
        4.4 Mortgage Derivatives
             4.4.1 Example 1 - CDS on CMBS
             4.4.2 Example 2 - CDS on RMBS
        4.5 Loan Derivatives
             4.5.1 Example 1 - CDS Loan Secured List
             4.5.2 Example 2 - CDS Loan Reference Obligation
             4.5.3 Example 3 - European CDS on Leveraged Loans Reference Obligation
        4.6 Credit Default Swap Option
             4.6.1 Example 1 - CDS Option
             4.6.2 Example 2 - CDS Option
             4.6.3 Example 3 - CDX Index Option
             4.6.4 Example 4 - iTraxx Index Option
        4.7 Independent Amount
             4.7.1 Example 1 - Independent Amount
    5 Foreign Exchange Examples
        5.1 Introduction
        5.2 Example 1 - FX Spot
        5.3 Example 2 - FX Spot 'Cross' (non-base currency) with Cross Rates
        5.4 Example 3 - FX Forward
        5.5 Example 4 - FX Forward with specific Settlement Instructions
        5.6 Example 5 - FX Forward identified as using standard settlement instructions
        5.7 Example 6 - FX Forward with split settlement
        5.8 Example 7 - Non-deliverable FX Forward
        5.9 Example 8 - FX Swap
        5.10 Example 9 - FX OTC Option - European exercise
        5.11 Example 10 - FX OTC Option - American exercise
        5.12 Example 11 - Non-deliverable FX OTC Option
        5.13 Example 12 - FX OTC Barrier Option
        5.14 Example 13 - FX OTC Double Barrier Option
        5.15 Example 14 - FX OTC Digital/Binary Option -- Euro Binary
        5.16 Example 15 - FX OTC Digital/Binary Option -- Euro Range Digital
        5.17 Example 16 - FX OTC Digital/Binary Option -- One-Touch
        5.18 Example 17 - FX OTC Digital/Binary Option -- No-Touch
        5.19 Example 18 - FX OTC Digital/Binary Option -- Double One-Touch
        5.20 Example 19 - FX OTC Digital/Binary Option -- Double No-Touch
        5.21 Example 20 - FX OTC Average Rate Option with Parametric Schedule
        5.22 Example 21 - FX OTC Average Rate Option with Parametric Schedule with Rate Observation
        5.23 Example 22 - FX OTC Average Rate Option with Specific Date Schedule
        5.24 Example 23 - Straddle (sample usage of Strategy)
        5.25 Example 24 - Delta Hedge (sample usage of Strategy)
        5.26 Example 25 - FX Option Strategy Component Identifier
        5.27 Example 26 - FX Swap with Multiple USI(s)
        5.28 Example 27 - FX Flexible Term Forward
        5.29 Example 28 - - Non-deliverable FX Forward with disruption events
        5.30 Term Deposit Example 1 - Simple Term Deposit
        5.31 Term Deposit Example 2 - Term Deposit with Settlement Instructions
        5.32 Term Deposit Example 2 - Term Deposit with Dual Currency feature
    6 Equity Options Examples
        6.1 Introduction
        6.2 Example 1 - American Call Stock Long Form
        6.3 Example 2 - Calendar Spread Short Form
        6.4 Example 3 - Call or Put Spread Short Form
        6.5 Example 4 - European Call Index Long Form
        6.6 Example 5 - Asian Option Long Form
        6.7 Example 6 - Averaging In Long Form
        6.8 Example 7 - Barrier Knockout with Rebate Long Form
        6.9 Example 8 - Basket Long Form
        6.10 Example 9 - Bermuda Long Form
        6.11 Example 10 - Binary Barrier Long Form
        6.12 Example 11 - Quanto Long Form
        6.13 Example 12 - Vanilla Short Form
        6.14 Example 13 - 1996 American Call Stock
        6.15 Example 14 - American Call Stock Passthrough Long Form
        6.16 Example 15 - Basket Passthrough Long Form
        6.17 Example 16 - Equity Option Transaction Supplement
        6.18 Example 17 - Equity Option Transaction Supplement Non-Deliverable Share
        6.19 Example 18 - Equity Option Transaction Supplement Non-Deliverable Index
        6.20 Example 19 - Dividend Adjustment
        6.21 Example 20 - Nested Basket
        6.22 Example 21 - Nested Basket
        6.23 Example 22 - Equity Option Transaction Supplement (Index Option) Asian Dates
        6.24 Example 23 - Equity Option Transaction Supplement (Index Option) Cliquet
        6.25 Example 24 -Equity Option Transaction Supplement (Index Option) Asian Schedule
        6.26 Example 25 -Equity Option Transaction Supplement (Index Option) Knock-In-Knock-Out Features
        6.27 Example 26 -Equity Option Mixed Asset Basket
        6.28 Example 27 - Equity Option Transaction Supplement EMEA EM (Interdealer)
    7 Bond and Convertible Bond Option Examples
        7.1 Introduction
        7.2 Example 1 - Bond Option
        7.3 Example 2 - Convertible Bond Option
        7.4 Example 3 - Convertible Bond Option
    8 Equity Swaps Examples
        8.1 Introduction
        8.2 Example 1 - Single Underlyer Execution Swap Long Form
        8.3 Example 2 - Composite Basket Swap Long Form
        8.4 Example 3 - Index Swap With a Quanto Feature Long Form
        8.5 Example 4 - Zero-strike Equity Swap
        8.6 Example 5 - Single Underlyer Swap with an Upfront Fee as well as a Brokerage Fee Long Form
        8.7 Example 6 - Single Index Long Form
        8.8 Example 7 - Single Underlyer Swap with both an Initial and a Final Stub
        8.9 Example 8 - Composite basket long form with separate spreads
        8.10 Example 9 - Compounding Swap
        8.11 Example 10 - Short form Interest Leg driving schedule dates
        8.12 Example 11 - Equity Accrual Swap on European Index Underlyer Short Form
        8.13 Example 12 - Equity Accrual Swap on European Index Underlyer Short Form
        8.14 Example 13 - Pan-Asia Interdealer Share Swap Short Form
        8.15 Example 14 - European Interdealer Share Swap Short Form
        8.16 Example 15 and 16 - Forward Starting European Interdealer Share Swap Short Form
        8.17 Example 17 - Contract For Difference (CFD)
        8.18 Example 18 - Pan Asia Interdealer Index Swap Short Form
        8.19 Example 19 - European Interdealer Fair Value Share Swap Short Form
        8.20 Example 1 - Total Return Swaps on Equity Basket
        8.21 Example 2 - Total Return Swaps on Single Equity
        8.22 Example 3 - Total Return Swaps on Single Stock Execution Swap with Fixing Dates and Dividend Payment Date
        8.23 Example 4 - Total Return Swaps on Markit IOS Index
    9 Equity Forwards Examples
        9.1 Introduction
        9.2 Example 1 - Equity Forward Stock Long Form
    10 Variance Derivatives Examples
        10.1 Introduction
        10.2 Example 1 - Variance Swap Index
        10.3 Example 2 - Variance Swap Single Stock
        10.4 Example 3 - Conditional Variance Swap
        10.5 Example 4 - Dispersion Variance Swap Long Form
        10.6 Example 5 - Dispersion Variance Swap Transaction Supplemen
        10.7 Example 6 - Variance Option Transaction Supplemen
    11 Correlation Derivatives Examples
        11.1 Introduction
        11.2 Example 1 - Correlation Swap
        11.3 Example 2 - Correlation Swap Confirmation
        11.4 Example 3 - Correlation Swap Confirmation
        11.5 Example 4 - Correlation Swap Confirmation
    12 Dividend Derivatives Examples
        12.1 Introduction
        12.2 Example 1 - Dividend Swap
        12.3 Example 2 - Dividend Swap Collateral
        12.4 Example 3 - Short Form Dividend Swap for Japanese Underlyer
    13 Securities Examples
        13.1 Introduction
        13.2 Example 1 - Future
        13.3 Example 2 - Exchange Traded Option
    14 Commodity Derivative Examples
        14.1 Introduction
        14.2 Example 1 - Gas Swap (North America) Daily Delivery - Prices Last Day
        14.3 Example 2 - Gas Swap (North America) Prices First Day
        14.4 Example 3 - Gas Swap (North America) Prices Last Three Days
        14.5 Example 4 - Electricity Swap (North America) Hourly Off Peak
        14.6 Example 5 - Gas v Electricity Spark Spread
        14.7 Example 6 - Gas Call Option
        14.8 Example 7 - Gas Put Option
        14.9 Example 8 - Oil Call Option Strip
        14.10 Example 9 - Oil Put Option American
        14.11 Example 10 - Physical Oil Pipeline Crude WTI Floating Price (ISDA or LEAP)
        14.12 Example 11 - Physical Oil Pipeline Heating Oil Fixed Price (ISDA or LEAP)
        14.13 Example 12 - Physical Gas Europe ZBT Fixed Price (ISDA)
        14.14 Example 13 - Physical Gas US TW West Texas Pool Floating Price 4 Days (ISDA)
        14.15 Example 14 - Physical Gas Europe TTF Fixed Price (EFET)
        14.16 Example 15 - Physical Oil Pipeline Crude WCS Fixed Price
        14.17 Example 16 - Physical Power US EEI Floating Price
        14.18 Example 17 - Physical Power UK GTMA Fixed Price
        14.19 Example 18 - Physical Power US EEI Fixed Price Shaped Volume
        14.20 Example 19 - Physical Bullion Forward
        14.21 Example 20 - Physical Coal US Fixed Pprice
        14.22 Example 21 - Physical Power US EEI Fixed Price Shaped Volume and Price
        14.23 Example 22 - Physical Gas Option Multiple Expiration
        14.24 Example 23 - Physical Power Option Daily Expiration - EFET
        14.25 Example 24 - Physical CDD Weather Index Swap
        14.26 Example 25 - Physical Bullion Average Price Forward
        14.27 Example 26 - Physical Metal Forward
        14.28 Example 27 - WTI Put Option Asian Listedoption Date
        14.29 Example 28 - Gas Swap Daily Delivery Prices Option last
        14.30 Example 29 - Physical EU Emissions Option
        14.31 Example 30 - Physical EU Emissions Forward
        14.32 Example 31 - Physical US Emissions Option
        14.33 Example 32 - CPD Weather Option
        14.34 Example 34 - Gas Put European Floating Strike Option
        14.35 Example 35 - Gas Power Heat Rate Daily Call Option
        14.36 Example 36 - Gas Call Option European with Spread, Negative Premium and Floating Strike Price
        14.37 Example 37 - Gold Forward Offered Rate
        14.38 Example 39 - Basket Option Confirmation
        14.39 Example 40 - Gas Digital Option Storage Volume Trigger
        14.40 Example 41 - Oil Asian Barrier Option Strip
        14.41 Example 42 - Index Return Swap Reinvestment Feature
        14.42 Example 43 - WTI Variance Swap
        14.43 Example 44 - Index Return Swap Fixed Notional
        14.44 Example 45 - AG Variance Swap

1 Business Process Examples

1.1 Introduction

This section contains example FpML documents for several message types related to different business processes. Each demonstrates how different message exchanges are modeled in FpML.

NOTE: The following examples have validation issue due to missing fxSingleLeg model which is in process of being redesigned and be added in the next version - 57, 63, 65-67, 69, 70, 73, 75-89.

1.2 Allocations

1.2.1 Example 20 - Short-Form Allocation of a Credit Default Swap

File: msg-ex20-cds-request-allocation.xml

This example shows a "short-form" representation of allocations for a Credit Default Swap. This means that only the block trade has a full FpML representation. The allocated trades are described with parameters (percentage of notional, amount) contained in the allocations element
1.2.2 Example 24 - Allocation Cancelled

File: msg-ex24-cds-request-allocation-retracted.xml

This example shows the allocation created in example 20 being cancelled. The message thread between two parties.
1.2.3 Example 25 - Request Allocation

File: msg-ex25-cds-request-allocation.xml

This examples shows the usage of the RequestAllocation message and a thread between two parties.
1.2.4 Example 26 - Short-Form Allocation of a Credit Default Swap (multiple allocation trade identifiers)

File: msg-ex26-cds-request-allocation-(multiple-allocationTradeIds).xml

This example shows a "short-form" representation of allocations for a Credit Default Swap using multiple allocation trade identifiers.
1.3.1 Example 5 - Equity Cash Share Request Confirmation

File: msg-ex05-eqd-cash-share-request-confirmation.xml

1.3.2 Example 6 - Equity Index Option Request Confirmation

File: msg-ex06-eqd-index-option-request-confirmation.xml

1.3.3 Example 7 - Equity Physical Share Request Confirmation

File: msg-ex07-eqd-physical-share-request-confirmation.xml

1.3.4 Example 12 - Credit Default Swap Request Increase Termination

File: msg-ex12-cd-request-increase-confirmation.xml

1.3.5 Example 13 - Credit Default Swap Full Termination Confirmation

File: msg-ex13-cd-request-full-termination-confirmation.xml

1.3.6 Example 14 - Credit Default Swap Partial Termination Confirmation

File: msg-ex14-cd-request-partial-termination-confirmation.xml

1.3.7 Example 15 - Credit Default Swap Request Amendment Confirmation

File: msg-ex15-cd-request-amendment-confirmation.xml

1.3.8 Example 17 - Two sided swap with multiple roles and accounts

File: msg-ex17-two-sided-swap-roles-accounts.xml

This example shows a RequestTradeConfirmation message of a two sided swap trade with multiple roles and accounts.
1.3.9 Example 18 - Credit Default Swap Short Form US Corporate with broker role

File: msg-ex18-cds-2003-short-us-corp-broker-role.xml

This example shows how to model a TradeConfirmed message of a trade with broker parties using the tradeSide structure instead of using the brokerPartyReference element.
1.3.10 Example 26 - Alleged Novation

File: msg-ex26-cds-alleged-novation.xml

This example shows the usage of the NovationAlleged message and a thread between two parties. The previous trade is a reference Credit Default Swap and the payment is a closeout between the outgoing and incoming parties.
1.4.1 Example 4 - Equity Option Increase

File: msg-ex04-eqd-option-increase.xml

1.4.2 Example 8 - Equity Option Partial Termination

File: msg-ex08-eqd-option-partial-termination.xml

1.4.3 Example 9 - Equity Option Termination

File: msg-ex09-eqd-option-termination.xml

1.4.4 Example 10 - Equity Swap Partial Termination

File: msg-ex10-eqd-swap-partial-termination.xml

1.4.5 Example 11 - Equity Swap Full Termination

File: msg-ex11-eqd-swap-full-termination.xml

1.4.6 Example 27 - Request Novation Consent

File: msg-ex27-request-consent-novation.xml

This example shows the usage of the NovationConsentRequest message and a thread between the two parties in example 26. The entire CDS transaction being novated is exposed while the payment between the incoming and outgoing parties is removed.
1.4.7 Example 100 - Request Clearing Consent, with quote

File: msg-ex100-request-consent-clearing-with-quote.xml

This show a request from a clearing service to a member firm to consent to a trade's being cleared, with quotes showing the trade's NPV and PV01.
1.4.8 Example 200 - Request Clearing Consent

File: msg-ex200-request-consent-clearing.xml

This show a request from a clearing service to a member firm to consent to a trade's being cleared.
1.4.9 Example 201 - Grant Clearing Consent

File: msg-ex200-grant-consent.xml

This show a message from a clearing member firm to a clearing service to consent to a trade's being cleared.
1.4.10 Example 300 - Request Clearing Consent on a Porfolio

File: msg-ex300-request-consent-clearing-portfolio-msg1.xml

This show a request from a clearing service to a member firm to consent to a portfolio being cleared.
1.4.11 Example 301 - Request Clearing Consent on a Porfolio

File: msg-ex301-request-consent-clearing-portfolio-msg2.xml

This show a request from a clearing service to a member firm to consent to a portfolio being cleared.
1.4.12 Example 302 - Grant Clearing Consent on a Portfolio

File: msg-ex302-grant-consent-to-portfolio.xml

This show a message from a clearing member firm to a clearing service to consent to a portfolio being cleared.
1.4.13 Example 303 - Grant Clearing Consent on Constituent of a Portfolio

File: msg-ex303-grant-consent-to-constituent-of-portfolio.xml

This show a message from a clearing member firm to a clearing service to consent to one trade of a portfolio being cleared.
1.4.14 Example 400 - Request Consent (with approval information)

File: msg-ex400-request-approval-fra.xml

This show a request consent with reference to the approving party.
1.4.15 Example 401 - Approval Status Notification

File: msg-ex401-approval-status-notification.xml

This show a notification message showing approval status informmation.

Examples to show the notification of execution advice and post-trade events between asset managers and custodians.

Sequence and description of below (Examples 51-62) execution advice notifications from Investment Manager to Custodian: Message Sequence Examples

1.5.1 Example 51 - Execution Advice of CDS Trade Initiation (C01-00)

File: msg-ex51-execution-advice-trade-initiation-C01-00.xml

1.5.2 Example 52 - Execution Advice of CDS Trade Partial Novation (C02-00)

File: msg-ex52-execution-advice-trade-partial-novation-C02-00.xml

1.5.3 Example 53 - Execution Advice of CDS Trade Partial Novation Correction (C02-10)

File: msg-ex53-execution-advice-trade-partial-novation-correction-C02-10.xml

1.5.4 Example 54 - Execution Advice of CDS Trade Partial Termination (C11-00)

File: msg-ex54-execution-advice-trade-partial-termination-C11-00.xml

1.5.5 Example 55 - Execution Advice of CDS Trade Partial Termination Cancellation (C11-10)

File: msg-ex55-execution-advice-trade-partial-termination-cancellation-C11-10.xml

1.5.6 Example 56 - Execution Advice of CDS Trade Full Termination (C12-00)

File: msg-ex56-execution-advice-trade-full-termination-C12-00.xml

1.5.7 Example 57 - Execution Advice of CDS Trade Full Termination Correction (C12-20)

File: msg-ex57-execution-advice-trade-full-termination_correction-C12-20.xml

1.5.8 Example 58 - Execution Advice of CDS Trade Initiation (F01-00).xml

File: msg-ex58-execution-advice-trade-initiation-F01-00.xml

1.5.9 Example 59 - Execution Advice of CDS Trade Amendment (F02-00)

File: msg-ex59-execution-advice-trade-amendment-F02-00.xml

1.5.10 Example 60 - Execution Advice of CDS Trade Amendment Correction (F02-10)

File: msg-ex60-execution-advice-trade-amendment-correction-F02-10.xml

1.5.11 Example 61 - Execution Advice of CDS Trade Change (F03-00)

File: msg-ex61-execution-advice-trade-change-F03-00.xml

1.5.12 Example 62 - Execution Advice of CDS Trade Change Correction (F03-10)

File: msg-ex62-execution-advice-trade-change-correction-F03-10.xml

1.5.13 Example 63 - Execution Advice of IRD Trade Initiation.xml

File: msg-ex63-execution-advice-trade-initiation.xml

Execution Advice Notification from Investment Manager to Custodian of an IRS Trade Initiation.
1.5.14 Example 64 - Execution Advice of IRD Trade Initiation Correction

File: msg-ex64-execution-advice-trade-initiation-correction.xml

Execution Advice Notification Notification from Investment Manager to Custodian about Correction of a IRD Trade Initiation Notification (in Example 63). A payment amount of 10% is added.
1.5.15 Example 65 - Execution Advice of IRD Trade Partial Termination

File: msg-ex65-execution-advice-trade-partial-termination.xml

Execution Advice Notification from Investment Manager to Custodian of the Partial Termination of an IRD Trade (in Example 63 and 64). A payment amount of 10% is added.
1.5.16 Example 66 - Execution Advice of IRD Trade Full Termination

File: msg-ex66-execution-advice-trade-full-termination.xml

Execution Advice Notification from Investment Manager to Custodian of the Full Termination of an IRS Trade (in Example 63, 64 and 65).
1.5.17 Example 67 - Execution Advice of IRD Trade Full Termination Correction

File: msg-ex67-execution-advice-trade-full-termination-correction.xml

Execution Advice Notification from Investment Manager to Custodian about Correction of a Full Termination Notification (in Example 63, 64, 65 and 66). A payment amount of 10% is added.
1.6.1 Example 19 - Long-Form Allocation of a Credit Default Swap

File: msg-ex19-cds-execution-allocations.xml

This example shows a "long-form" representation of allocations for a Credit Default Swap. This means that the block and the allocated trades have a full FpML representation.
1.6.2 Example 22 - Allocation Created

File: msg-ex22-cds-execution-allocations.xml

This example shows an allocation being created with the AllocationCreated message. It also notes the beginning of a messaging thread between two parties.
1.6.3 Example 23 - Allocation Amendment

File: msg-ex23-cds-execution-allocation-amended.xml

This example shows a change to the allocation that was created in example 22. The AllocationAmended message continues a thread between two parties.
1.6.4 Example 24 - Trade Package

File: msg-ex24-package-execution-notification.xml

This example shows a trade package (a bundle or package of trades executed as part of a single transaction)
1.6.5 Example 90 - Trade Execution Date Time

File: msg-ex90-trade-execution-date-time.xml

This example shows the representation of the trade execution date time, which is a requirement for MiFID.
1.7.1 Example 01 - Request Trade Information Update

File: trade-info-ex01-request-info-update.xml

This example shows a request to update some information about a trade, specifically to add a trade identifier.
1.8.1 Example 01 - Option Expiration Notification

File: msg-ex01-option-expiry-notification.xml

This example shows an notification that options are about to expire
1.8.2 Example 02a - Request to exercise options

File: msg-ex02-request-execution-1-interest-rate-swaption.xml

This example shows a request to exercise options
1.8.3 Example 02b - Request NOT to exercise options

File: msg-ex02-request-execution-2-do-not-exercise.xml

This example shows a request NOT to exercise options
1.8.4 Example 03a - Execution notification that options were exercised (cash)

File: msg-ex03a-execution-notification-option-exercised-1-cash.xml

This example shows an execution notification that options were excercised (cash)
1.8.5 Example 3a - Execution notification that options were exercised (physical)

File: msg-ex03a-execution-notification-option-exercised-2-physical-trade.xml

This example shows an execution notification that options were excercised (physical)
1.8.6 Example 3a - Execution notification that options were exercised (physical / security underlyer)

File: msg-ex03a-execution-notification-option-exercised-3-physical-security.xml

This example shows an execution notification that options were excercised (physical / security underlyer)
1.8.7 Example 3b - Request confirmation (physical)

File: msg-ex03b-request-confirmation-physical.xml

This example shows a request confirmation (physical)
1.8.8 Example 04 - Execution advice that options were exercised

File: msg-ex04-execution-advice-option-exercised.xml

This example shows an execution advice that options were exercised
1.8.9 Example 05 - Execution exception

File: msg-ex05-execution-exception.xml

This example shows an execution exception
1.8.10 Example 06 - Maturity notification (option expired)

File: msg-ex06-maturity-notification-option-expired.xml

This example shows a message that reports an option has expired.
1.8.11 Example 07 - Maturity notification (trade matured)

File: msg-ex07-maturity-notification-trade-matured.xml

This example shows a message that reports a trade has matured (passed its scheduled termination date and last payment.).
1.8.12 Example A - Request Confirmation of OTC Equity Option

File: msg-exA-confirm-otc-equity-option.xml

This example shows a confirmation for an OTC Equity Option
1.8.13 Example B - Option Expiration Notification

File: msg-exB-expiring-otc-equity-option.xml

This example shows an notification that equity options are about to expire
1.8.14 Example C - Request Execution of Equity Options

File: msg-exC-request-execution-exercise-otc-equity-option.xml

This example shows a request to exercise the equity options
1.8.15 Example D - Execution Notification of Equity Option Exercise

File: msg-exD-exercise-notification-otc-equity-option.xml

This example shows a notification that the physically settled OTC equity option has been exercised, showing the resulting instrument trade (of the equity).
1.8.16 Example M - Confirm Bond Option

File: msg-exM-confirm-bond-option.xml

This example shows a confirmation of an OTC bond option
1.8.17 Example N - Expiring Bond Option

File: msg-exN-expiring-otc-bond-option.xml

This example shows a notification that the above bond option is about to expire.
1.8.18 Example O - Request exercise OTC Bond Option

File: msg-exO-request-exercise-otc-bond-option.xml

This example shows a request to exercise the bond options
1.8.19 Example P - Exercise Notification New Trade for OTC bond option

File: msg-exP-exercise-notification-new-trade-for-otc-bond-option.xml

This example shows a notification that the physically settled OTC bond option has been exercised, showing the resulting instrument trade (of the bond).
1.8.20 Example X - Exercise Notification of FX option

File: msg-exX-exercise-notification-fx-option.xml

This example shows a notification that an FX option has been exercised, showing the resulting spot FX trade.
1.8.21 Example Y - Exercise Notification of a swaption

File: msg-exY-exercise-notification-ir-swaption.xml

This example shows a notification that an interest rate swaption has been exercised, showing the resulting swap position.
1.8.22 Example 08 - Option Expiration Notification

File: msg-ex08-option-expiry-notification-with-original-trade.xml

This example shows an notification that options are about to expire, and includes a copy of the original trade.
1.8.23 Example 130 - Request Execution of an Option (Straddle)

File: msg-ex130-request-execution-option-exercise-straddle.xml

This example shows a request to exercise a straddle.
1.8.24 Example 131 - Execution notification that options were exercised (physical)

File: msg-ex131-execution-notification-option-exercised-straddle.xml

This example shows an execution notification that a straddle option was excercised.
1.9.1 Example 01 - Clearing Status Notification

File: msg-ex01-clearing-status.xml

This example shows a notification that options are expiring
1.9.2 Example 02 - Request to de-clear

File: msg-ex02-request-clearing-declear.xml

This example shows a request to de-clear
1.9.3 Example 03 - Clearing Confirmed (de-clear)

File: msg-ex03-clearingConfirmed-declear-sample1.xml

This example shows a clearing confirmation for de-clear
1.9.4 Example 04 - Clearing Confirmed (de-clear)

File: msg-ex04-clearingConfirmed-declear-sample2.xml

This example shows a clearing confirmation for de-clear
1.9.5 Example 05 - Clearing Confirmed (trade terminated due to netting)

File: msg-ex05-clearingConfirmed-trade-terminated-due-to-netting.xml

This example shows a clearing confirmation for trade that was terminated due to netting activity
1.9.6 Example 06 - Clearing Confirmed (trade created due to netting)

File: msg-ex06-clearingConfirmed-trade-created-due-to-netting.xml

This example shows a clearing confirmation for trade that was created due to netting activity
1.9.7 Example 07 - Clearing Requested (from SEF)

File: msg-ex07-clearingRequested-from-sef.xml

This example shows a request for clearing from a SEF to a clearing house
1.9.8 Example 08 - Clearing Status (to SEF)

File: msg-ex08-clearingStatus-to-sef.xml

This example shows a clearing status message from a clearing house to a SEF
1.9.9 Example 09 - Clearing Status (to broker)

File: msg-ex09-clearingStatus-to-broker.xml

This example shows a clearing status message from a clearing house to a broker (clearing firm)
1.9.10 Example 10 - Clearing Confirmed (full clearing report)

File: msg-ex10-clearingConfirmed-clearing-performed.xml

This example shows a clearing confirmation to a SEF showing the original trade and information about the cleared trades that were created.
1.9.11 Example 11 - Clearing Confirmed (trade created as a result of netting and part of a portfolio)

File: msg-ex11-clearingConfirmed-trade-created-due-to-netting-portfolio-msg1.xml

This example shows a trade that was created because of a netting operation. The new trade is part of a portfolio.
1.9.12 Example 12 - Clearing Confirmed (trade created as a result of netting and part of a portfolio)

File: msg-ex12-clearingConfirmed-trade-created-due-to-netting-portfolio-msg2.xml

This example shows a trade that was created because of a netting operation. The new trade is part of a portfolio.
1.9.13 Example 20 - Clearing Requested (with approved allocations)

File: msg-ex20-clearingRequested-from-sef-with-approved-allocations.xml

This example shows a clearing request including approved allocations.
1.9.14 Example 50 - Request Clearing (Package Transactions)

File: msg-ex50-request-clearing-trade-package.xml

This example shows a request clearing msage for a trade package.
1.9.15 Example 51 - Clearing Confirmed (to SEF) (Package Transactions)

File: msg-ex51-clearing-confirmed-to-sef-trade-package.xml

This example shows a clearing confirmation for de-clear
1.9.16 Example 100 - Request Clearing Eligibility

File: msg-ex100-request-clearing-eligibility.xml

This example shows a request to check the mandatory clearing status of a trade with respect to regulatory bodies.
1.9.17 Example 101 - Clearing Eligibility (Status)

File: msg-ex101-clearing-eligiblity.xml

This example shows the mandatory clearing status of a trade with respect to different regulatory bodies.
1.10.1 Execution and Clearing

This section contains examples of FpML trade packages.
1.10.2 Package Transactions Example 1 - Execution Notification

This shows an example of execution of a package transaction (trade package).

File: pkg-ex01-pkge-execution-notification.xml

1.10.3 Package Transactions Example 2 - Execution Notification

This shows an example of execution of a package transaction (trade package) - single trade.

File: pkg-ex02-swap-spread-single-trade-execution-notification.xml

1.10.4 Package Transactions Example 55 - Execution Notification

This shows an example of execution of a package transaction (trade package).

File: pkg-ex55-execution-notification.xml

1.10.5 Package Transactions Example 60 - Request Clearing

This shows an example of a request clearing message (trade package).

File: pkg-ex60-request-clearing.xml

1.10.6 Package Transactions Example 61 - Clearing Confirmed

This shows an example of a clearing confirmed message (trade package).

File: pkg-ex61-clearing-confirmed.xml

2.1 Introduction

This section contains twenty eight example FpML trades. Each example illustrates how different product features are modeled in FpML.

Example 5 shows the defaulted 'type' attributes as part of the sample document. This illustrates the additional content model information available to a validating parser when processing an FpML document.

The sample xml document are available for download from the fpml.org website.

File: ird-ex01-vanilla-swap.xml

On 12 December, 1994 Chase New York and Barclays Bank London enter into an ISDA swap agreement with each other. The terms of the contract are:

  • Effective Date: 14 December, 1994
  • Termination Date: 14 December, 1999
  • Notional Amount: EUR 50,000,000
  • Chase pays the floating rate every 6 months, based on 6-month EUR-LIBOR-BBA, on an ACT/360 basis
  • Barclays pays the 6% fixed rate every year on a 30E/360 basis
  • The swap is non compounding, non amortizing and there are no stub periods. There is no averaging of rates. The business day convention for adjusting the calculation dates is the same as that used for payment date adjustments.

Note the following:

  • Optional cashflows are not included in this example

File: ird-ex02-stub-amort-swap.xml

The swap contract is identical to Example 1 except that there is an initial stub period and the notional amortizes.

The rate for the stub period is the linear interpolation between the 4-month and 5-month EUR-LIBOR-BBA rates.

The stub period on the floating stream runs from 16 January, 1995 to 14 June, 1995, and on the fixed stream from 16 January, 1995 to 14 December, 1995.

The notional amount is decreased by EUR 10,000,000 each year.

Note the following:

  • Optional cashflows are included. An assumption that all weekdays are good business days has been made in calculating the adjusted dates in the cashflows

File: ird-ex03-compound-swap.xml

On 25 April, 2000 Morgan Stanley Dean Witter and JPMorgan enter into an ISDA swap agreement with each other. The terms of the contract are:

  • Effective Date: 27 April, 2000
  • Termination Date: 27 April, 2002
  • Notional Amount: USD 100,000,000
  • JPMorgan pays the 5.85% fixed rate semi-annually on a 30/360 basis.
  • Morgan Stanley Dean Witter pays the floating rate semi-annually, based on 3-month USD-LIBOR-BBA reset and compounded flat quarterly, on an ACT/360 basis. The compounded rate to be used for calculating each floating payment amount will be rounded to the nearest 5 decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7 in the FpML document since the percentage is expressed as a decimal, e.g. 9.876543% (or 0.09876543) being rounded to the nearest 5 decimal places is 9.87654% (or 0.0987654)
  • The business day convention for adjusting the calculation dates is the same as that used for payment date adjustments. There is a payment delay of 5 business days.

Note the following:

  • Optional cashflows are included. An assumption that all weekdays are good business days has been made in calculating the adjusted dates in the cashflows
  • The floatingRateIndexScheme refers to the 1998 Supplement to the 1991 ISDA Definitions.

File: ird-ex04-arrears-stepup-fee-swap.xml

On 25 April, 2000 Morgan Stanley Dean Witter and JPMorgan enter into an ISDA swap agreement with each other. The terms of the contract are:

  • Effective Date: 27 April, 2000
  • Termination Date: 27 April, 2002
  • Notional amount: USD 100,000,000
  • JPMorgan pays a 6.0% fixed rate semi-annually on a 30/360 basis for the first year and a fixed rate of 6.5% for the final year
  • Morgan Stanley Dean Witter pays the floating rate quarterly, based on 3-month USD-LIBOR-BBA reset in arrears, on an ACT/360 basis
  • There is no adjustment to period end dates on the fixed stream, i.e. the business day convention used for adjusting the payment dates does not apply for adjusting the calculation dates
  • There is an upfront fee of USD 15,000 payable by Morgan Stanley Dean Witter to JPMorgan on the Effective Date.

Note the following:

  • Optional cashflows are not included in this example
  • The floatingRateIndexScheme refers to the 1998 Supplement to the 1991 ISDA Definitions.

File: ird-ex05-long-stub-swap.xml

On 3 April, 2000 Chase and UBS Warburg enter into an ISDA swap agreement with each other. The terms of the contract are:

  • Effective Date: 5 April, 2000
  • Termination Date: 5 January, 2005
  • Notional Amount: EUR 75,000,000
  • Chase pays the floating rate every 6 months, based on 6-month EUR-EURIBOR-Telerate plus 10 basis points spread, on an ACT/360 basis
  • UBS Warburg pays the 5.25% fixed rate every year on a 30/360 basis
  • There is a long initial stub period of 7 months. The first period runs from 5 March, 2000 to 5 October, 2000 and an initial stub rate of 5.125% has been agreed for this period on the floating stream
  • There is a short final stub period of 3 months. The final period runs from 5 October, 2004 to 5 January, 2005 and the 3-month EUR-EURIBOR-Telerate rate will be used for this period on the floating stream
  • The business day convention for adjusting the calculation dates is the same as that used for payment date adjustments.

Note the following:

  • The optional cashflows are not shown in this example
  • This example shows the defaulted 'type' attributes to illustrate the additional content model information available to a validating parser. Whilst it is not invalid to include this information in the XML document instance, it is not recommended to do so, as any inconsistencies between the type information specified in the document and that in the DTD will result in a well formed but invalid FpML document
  • The floatingRateIndexScheme refers to the 1998 ISDA Euro Definitions.

File: ird-ex06-xccy-swap.xml

On 12 December, 1994 Chase New York and Barclays Bank London enter into an ISDA cross-currency swap agreement with each other. The terms of the contract are:

  • Effective Date: 14 December, 1994
  • Termination Date: 14 December, 1999
  • Chase pays the floating rate every 6 months, based on 6-month USD-LIBOR-BBA, on USD 10,000,000 and an ACT/360 basis
  • Barclays pays the 6% fixed rate every year on JPY 1,000,000,000 and a 30E/360 basis
  • The swap is non compounding, non amortizing and there are no stub periods. There is no averaging of rates. The business day convention for adjusting the calculation dates is the same as that used for payment date adjustments.

Note the following:

  • This example is identical to the MT361 Example 1 message in the S.W.I.F.T. User Handbook (Page 477, Category 3 - Treasury Markets - Foreign Exchange, Money Markets and Derivatives - October 1998 Standards Release - August 1998 Edition)
  • Optional cashflows are included. An assumption that all weekdays are good business days has been made in calculating the adjusted dates in the cashflows
  • The floatingRateIndexScheme refers to the 1991 ISDA Definitions.

File: ird-ex07-ois-swap.xml

On 25 January, 2001 Citibank and Mizuho Capital enter into an ISDA swap agreement with each other. The terms of the contract are:

  • Effective Date: 29 January, 2001
  • Termination Date: 29 April, 2001
  • Notional Amount: EUR 100,000,000
  • Citibank makes a single floating rate payment at maturity based on the self-compounding floating rate index EUR-EONIA-OIS-COMPOUND, on an ACT/360 basis. The payment is delayed by one TARGET settlement day
  • Mizuho Capital makes a single fixed rate payment at maturity based on a fixed rate of 5.1%, on an ACT/360 basis. The payment is delayed by one TARGET settlement day.

Note the following:

  • Optional cashflows are not included in this example
  • The floatingRateIndexScheme refers to the 2000 ISDA Definitions
  • The calculationPeriodFrequency, paymentFrequency and resetFrequency are all specified as 'Term' since payments on the fixed and floating streams occur only at maturity and there is a single calculation period. The rollConvention is specified as 'None'
  • The floating rate reset date is the last day of the calculation period. The ISDA definition of the OIS floating rate index provides for the compounding of the overnight deposit rates to occur in the process of arriving at the floating rate. There is no need to specify compounding of the rate separately, i.e. calculationPeriodFrequency and paymentFrequency are the same and no compoundingMethod is specified
  • The fixing date is equal to the reset date
  • There is no indexTenor (designated maturity) specified for the OIS floating rate index
  • The calculation agent is Citibank.

File: ird-ex08-fra.xml

On 14 May, 1991 ABN AMRO Bank and Midland Bank enter a Forward Rate Agreement in which ABN AMRO is the seller of the notional contract amount and Midland the buyer. The terms of the contract are:

  • Effective Date: 17 July, 1991
  • Termination Date: 17 January, 1992
  • Notional Amount: CHF 25,000,000
  • Fixed Rate: 4.0%
  • Day Count Fraction: Actual/360

Note the following:

  • This example is identical to the MT340 Example message in the S.W.I.F.T. User Handbook (Page 243, Category 3 - Treasury Markets - Foreign Exchange, Money Markets and Derivatives - October 1998 Standards Release - August 1998 Edition).
  • The floatingRateIndexScheme refers to the 1991 ISDA Definitions.

File: ird-ex09-euro-swaption-explicit.xml

On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:

  • PartyA pays to partyB a premium of EUR 100000, on 30 August, 2000.
  • The Option Expires on 28th August, 2001.
  • The Option should be exercised no earlier than 09:00 hours Brussels time, and no later than 11:00 hours Brussels time
  • Follow-up confirmation of the exercise decision is required.
  • Effective Date of the Underlying Swap: 30 August, 2001
  • Termination Date of the Underlying Swap: 30 August, 2006
  • Notional on the Underlying Swap Amount: EUR 100,000,000
  • Should the option be exercised, PartyA makes semi-annual floating rate payments based on the floating rate index EUR-EURIBOR-Telerate, on an ACT/360 basis.
  • Should the option be exercised, PartyB makes annual fixed rate payments based on a fixed rate of 5.0%, on an 30/360 basis.

Note the following:

  • The Calculation agent is partyB
  • The notification party is partyB, i.e. it is to partyB that notice of exercise must be given.
  • The Swap is not specified with cashflows.
  • The options settles physically.
  • The effective date of the underlying swap is explicitly set as 30 August, 2001 by virtue of the fact that there is no relevantUnderlyingDate element set.

File: ird-ex10-euro-swaption-relative.xml

On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:

  • PartyA pays to partyB a premium of EUR 100000, on 30 August, 2000.
  • The Option Expires on 28th August, 2001.
  • The Option should be exercised no earlier than 09:00 hours Brussels time, and no later than 11:00 hours Brussels time
  • Follow-up confirmation of the exercise decision is required.
  • Effective Date of the Underlying Swap is defined as being 2 days after the Exercise Date.
  • Termination Date of the Underlying Swap: 30 August, 2006
  • Notional on the Underlying Swap Amount: EUR 100,000,000
  • Should the option be exercised, PartyA makes semi-annual floating rate payments based on the floating rate index EUR-EURIBOR-Telerate, on an ACT/360 basis.
  • Should the option be exercised, PartyB makes annual fixed rate payments based on a fixed rate of 5.0%, on an 30/360 basis.

File: ird-ex11-euro-swaption-partial-auto-ex.xml

On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:

  • PartyA pays to partyB a premium of EUR 100000, on 30 August, 2000.
  • The Option Expires on 28th August, 2001.
  • The option is exercised automatically where the threshold rate for exercise is set as 2 basis points.
  • There is allowance for partial exercise, where the minimum notional amount is EUR 50,000,000 increasing in multiples of EUR 10,000,000.
  • Effective Date of the Underlying Swap: 30 August 2001.
  • Termination Date of the Underlying Swap: 30 August, 2006
  • Notional on the Underlying Swap Amount: EUR 100,000,000
  • Should the option be exercised, PartyA makes semi-annual floating rate payments based on the floating rate index EUR-EURIBOR-Telerate, on an ACT/360 basis.
  • Should the option be exercised, PartyB makes annual fixed rate payments based on a fixed rate of 5.0%, on an 30/360 basis.

File: ird-ex12-euro-swaption-straddle-cash.xml

On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:

  • PartyA pays to partyB a premium of EUR 100000, on 30 August, 2000.
  • The Option Expires on 28th August, 2001.
  • The Option should be exercised no earlier than 09:00 hours Brussels time, and no later than 11:00 hours Brussels time
  • The exercise, settlement is made in cash with valuation being performed using the yield curve unadjusted method (rate source - ISDA, rate type - Mid).
  • Follow-up confirmation of the exercise decision is required.
  • Effective Date of the Underlying Swap: 30 August, 2001
  • Termination Date of the Underlying Swap: 30 August, 2006
  • Notional on the Underlying Swap Amount: EUR 100,000,000
  • The Option held is a straddle, therefore, on exercise, PartyA will either
  • Make semi-annual floating rate payments based on the floating rate index EUR-EURIBOR-Telerate, on an ACT/360 basis, and receive annual fixed rate payments based on a fixed rate of 5.0%, on an 30/360 basis.
  • or
  • Make annual fixed rate payments based on a fixed rate of 5.0%, on an 30/360 basis and receive semi-annual floating rate payments based on the floating rate index EUR-EURIBOR-Telerate, on an ACT/360 basis.

File: ird-ex13-euro-swaption-cash-with-cfs.xml

On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:

  • PartyA pays to partyB a premium of EUR 100000, on 30 August, 2000.
  • The Option Expires on 28th August, 2001.
  • The Option should be exercised no earlier than 09:00 hours Brussels time, and no later than 11:00 hours Brussels time
  • The exercise, settlement is made in cash with valuation being performed using the yield curve unadjusted method (rate source - ISDA, rate type - Mid).
  • Follow-up confirmation of the exercise decision is required.
  • Effective Date of the Underlying Swap: 30 August, 2001
  • Termination Date of the Underlying Swap: 30 August, 2006
  • Notional on the Underlying Swap Amount: EUR 100,000,000
  • Should the option be exercised, PartyA makes semi-annual floating rate payments based on the floating rate index EUR-EURIBOR-Telerate, on an ACT/360 basis.
  • Should the option be exercised, PartyB makes annual fixed rate payments based on a fixed rate of 5.0%, on an 30/360 basis.

Note the following:

  • The Calculation agent is partyB
  • The swaption is specified with its adjusted exercise date.
  • The Swap is specified with cashflows included

File: ird-ex14-berm-swaption.xml

On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:

  • PartyA pays to partyB a premium of EUR 100000, on 30 August, 2000.
  • The Option can be exercised the following dates: 28 December, 2000, 28 April, 2000 or 28 August, 2000
  • The Option should be exercised on these dates no earlier than 09:00 hours Brussels time, and no later than 11:00 hours Brussels time
  • Follow-up confirmation of the exercise decision is required.
  • Effective Date of the Underlying Swap: 30 August, 2001
  • Termination Date of the Underlying Swap: 30 August, 2006
  • Notional on the Underlying Swap Amount: EUR 100,000,000
  • Should the option be exercised, PartyA makes semi-annual floating rate payments based on the floating rate index EUR-EURIBOR-Telerate, on an ACT/360 basis.
  • Should the option be exercised, PartyB makes annual fixed rate payments based on a fixed rate of 5.0%, on an 30/360 basis.

Note the following:

  • The Calculation agent is partyB
  • The options settles physically.

File: ird-ex15-amer-swaption.xml

On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:

  • PartyA pays to partyB a premium of EUR 100000, on 30 August, 2000.
  • The Option can be exercised on any date from 30 August 2000 to 30 August 2002.
  • The Option should be exercised on these dates no earlier than 09:00 hours Brussels time, and no later than 11:00 hours Brussels time
  • Follow-up confirmation of the exercise decision is required.
  • Effective Date of the Underlying Swap will be 2 days after the exercise date.
  • Termination Date of the Underlying Swap: 30 August, 2006
  • Notional on the Underlying Swap Amount: EUR 100,000,000
  • Should the option be exercised, PartyA makes semi-annual floating rate payments based on the floating rate index EUR-EURIBOR-Telerate, on an ACT/360 basis.
  • Should the option be exercised, PartyB makes annual fixed rate payments based on a fixed rate of 5.0%, on an 30/360 basis.

Note the following:

  • The Calculation agent is partyB
  • The options settles physically.

File: ird-ex16-mand-term-swap.xml

On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA swap with early termination provision. The terms of the contract are:

  • Effective Date of the Swap: 30 August 2001.
  • Termination Date of the Underlying Swap: 30 August, 2006
  • Notional on the Underlying Swap Amount: EUR 100,000,000
  • PartyA makes semi-annual floating rate payments based on the floating rate index EUR-EURIBOR-Telerate, on an ACT/360 basis.
  • PartyB makes annual fixed rate payments based on a fixed rate of 5.0%, on an 30/360 basis.
  • The will terminate on the 30 August 2001.
  • Cash settlement will be made on this date with valuation taking place 2 days prior to settlement at 11:00 hours (Brussels time).
  • The Swap will be valued at this lime using the cash-price method

Note the following:

  • The partyA and partyB are joint calculation agents

File: ird-ex17-opt-euro-term-swap.xml

On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA swap with early termination provision. The terms of the contract are:

  • Effective Date of the Swap: 30 August 2001.
  • Termination Date of the Underlying Swap: 30 August, 2006
  • Notional on the Underlying Swap Amount: EUR 100,000,000
  • PartyA makes semi-annual floating rate payments based on the floating rate index EUR-EURIBOR-Telerate, on an ACT/360 basis.
  • PartyB makes annual fixed rate payments based on a fixed rate of 5.0%, on an 30/360 basis.
  • The partyA has a chance to terminate the swap early - cash-settling on 30 August 2001. Notification of this needs to be given 5 days prior to this date after 9:00 hours (Brussels time) and not after (11:00 hours Brussels time)
  • Cash settlement will be made on this date with valuation taking place 2 days prior to settlement at 11:00 hours (Brussels time).
  • The Swap will be valued at this time using the cash-price method

File: ird-ex18-opt-berm-term-swap.xml

On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA swap with early termination provision. The terms of the contract are:

  • Effective Date of the Swap: 30 August 2001.
  • Termination Date of the Underlying Swap: 30 August, 2006
  • Notional on the Underlying Swap Amount: EUR 100,000,000
  • PartyA makes semi-annual floating rate payments based on the floating rate index EUR-EURIBOR-Telerate, on an ACT/360 basis.
  • PartyB makes annual fixed rate payments based on a fixed rate of 5.0%, on an 30/360 basis.
  • The partyA has a chance to terminate the swap early - cash-settling either 30 August 2003, or 30 August 2004. Notification of this needs to be given 5 days prior to this date after 9:00 hours (Brussels time) and not after (11:00 hours Brussels time)
  • Cash settlement will be made on this date with valuation taking place 2 days prior to settlement at 11:00 hours (Brussels time).
  • The Swap will be valued at this time using the cash-price method

Note the following:

  • The swap is defined with cashflows.

File: ird-ex19-opt-amer-term-swap.xml

On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA swap with early termination provision. The terms of the contract are:

  • Effective Date of the Swap: 30 August 2001.
  • Termination Date of the Underlying Swap: 30 August, 2011
  • Notional on the Underlying Swap Amount: EUR 100,000,000
  • PartyA makes semi-annual floating rate payments based on the floating rate index EUR-EURIBOR-Telerate, on an ACT/360 basis.
  • PartyB makes annual fixed rate payments based on a fixed rate of 5.0%, on an 30/360 basis.
  • The partyA has a chance to terminate the swap early - cash-settling any time between 30 August 2001 and 30 August 2006. Notification of this needs to be given 5 days prior to this date after 9:00 hours (Brussels time) and not after (11:00 hours Brussels time)
  • Cash settlement will be made on this date with valuation taking place 2 days prior to settlement at 11:00 hours (Brussels time).
  • The Swap will be valued at this time using the cash-price method

File: ird-ex20-euro-cancel-swap.xml

On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA swap with Cancelable provision. The terms of the contract are:

  • Effective Date of the Swap: 30 August 2001.
  • Termination Date of the Underlying Swap: 30 August, 2011
  • Notional on the Underlying Swap Amount: EUR 100,000,000
  • PartyB makes semi-annual floating rate payments based on the floating rate index EUR-EURIBOR-Telerate, on an ACT/360 basis.
  • PartyA makes annual fixed rate payments based on a fixed rate of 5.0%, on an 30/360 basis.
  • The partyB has a chance to cancel the swap after five years (30 August 2006) giving notification 15 days prior to this date after 9:00 hours (Brussels time) and not after (11:00 hours Brussels time)

File: ird-ex21-euro-extend-swap.xml

On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA swap with Extendible provision. The terms of the contract are:

  • Effective Date of the Swap: 30 August 2001.
  • Termination Date of the Underlying Swap: 30 August, 2006
  • Notional on the Underlying Swap Amount: EUR 100,000,000
  • PartyB makes semi-annual floating rate payments based on the floating rate index EUR-EURIBOR-Telerate, on an ACT/360 basis.
  • PartyA makes annual fixed rate payments based on a fixed rate of 5.0%, on an 30/360 basis.
  • The partyA has a chance to extend the swap after five years (30 August 2006) giving notification 15 days prior to this date after 9:00 hours (Brussels time) and not after (11:00 hours Brussels time). If extended, the swap will continue until 30 August 2011

File: ird-ex22-cap.xml

On 29 April, 2001 PartyA sells to PartyB an interest rate cap. The terms of the contract are:

  • Effective Date of the Cap: 30 June 2001.
  • Termination Date of the Cap: 30 June, 2006
  • Notional Amount: EUR 100,000,000
  • PartyA sells partyB a stepped cap (initial rate of 6%) on semi-annual floating rate payments based on the floating rate index EUR-EURIBOR-Telerate, on an ACT/360 basis (partyA being the payer of the floating rate).

Note the following:

  • The cap rate schedule defines annual 'step up' intervals hence keeping the same strike for 2 successive caplets.

File: ird-ex23-floor.xml

On 29 April, 2001 PartyA sells to PartyB an interest rate floor. The terms of the contract are:

  • Effective Date of the Floor: 30 June 2001.
  • Termination Date of the Floor: 30 June, 2006
  • Notional Amount: EUR 100,000,000
  • PartyA sells partyB a stepped floor (initial floor rate of 4%) on semi-annual floating rate payments based on the floating rate index EUR-EURIBOR-Telerate, on an ACT/360 basis (partyA being the payer of the floating rate).

Note the following:

  • The floor rate schedule defines annual 'step up' intervals hence keeping the same strike for 2 successive floorlets.

File: ird-ex24-collar.xml

On 29 April, 2001 PartyB sells to PartyA an interest rate collar (PartyA buys a cap and sells a floor). The terms of the contract are:

  • Effective Date of the Collar: 30 June 2001.
  • Termination Date of the Collar: 30 June, 2006
  • Notional Amount: EUR 100,000,000
  • PartyA buys a stepped cap (initial cap rate of 6%) and partyA sells a stepped floor (initial floor rate of 4%) on semi-annual floating rate payments based on the floating rate index EUR-EURIBOR-Telerate, on an ACT/360 basis.

Note the following:

  • The cap and floor rate schedule defines annual 'step up' intervals hence keeping the same strike for 2 successive caplets/floorlets.

File: ird-ex25-fxnotional-swap.xml

On 9 January, 2001 PartyA and PartyB agree to enter into an FX Reseting interest rate swap. The terms of the contract are:

  • Effective Date of the Swap: 11 January 2006.
  • Termination Date of the Underlying Swap: 11 January, 2011
  • PartyB makes semi-annual fixed rate payments based on a fixed rate of 1.0%, on an ACT/360-Fixed basis.
  • Notional on the fixed leg of the Swap: JPY 100,000,000
  • PartyA makes quarterly floating rate payments based on the floating rate index USD-LIBOR-BBA, on an ACT/360 basis.
  • Notional on the floating leg of the swap has a Ccy of USD and is FX Linked to the fixed leg JPY notional. The conversion rate for each cashflow is that observed on payment day at 17:00 hours from the Bank of Japan information source.

File: ird-ex26-fxnotional-swap-with-cfs.xml

On 9 January, 2001 PartyA and PartyB agree to enter into a forward starting FX Reseting interest rate swap. The terms of the contract are:

  • Effective Date of the Swap: 11 January, 2006.
  • Termination Date of the Underlying Swap: 11 January, 2001
  • PartyB makes semi-annual fixed rate payments based on a fixed rate of 1.0%, on an ACT/360-Fixed basis.
  • Notional on the fixed leg of the Swap: JPY 100,000,000
  • PartyA makes quarterly floating rate payments based on the floating rate index USD-LIBOR-BBA, on an ACT/360 basis.
  • Notional on the floating leg of the swap has a Ccy of USD and is FX Linked to the fixed leg JPY notional. The conversion rate for each cashflow is that observed on payment day at 17:00 hours from the Bank of Japan information source.

Things to note:

  • The Swap stream is defined with cashflows

File: ird-ex27-inverse-floater.xml

On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA. The terms of the contract are:

  • Effective Date of the Swap: 30 August 2001.
  • Termination Date of the Underlying Swap: 30 August, 2006
  • Notional on the Underlying Swap Amount: USD 100,000,000
  • PartyA makes quarterly payments with floating rate payments derived as (8.5% - floating rate index EUR-EURIBOR-Telerate), on an ACT/360 basis.
  • PartyB makes semi-annual fixed rate payments based on a fixed rate of 4.5%, on an 30/360 basis.

Things to note:

  • The use of the floatingRateMultiplierSchedule to invert the floating USD rate.

File: ird-ex28-bullet-payments.xml

On 29 April, 2000 PartyA agrees the payment of a single cashlow to PartyB. The terms of the contract are:

  • The payment has an unadjusted payment date of 27 July 2001.
  • The amount to be paid is USD 15,000.
  • Payment dates are adjusted to London and NY business centers for both payments

File: ird-ex29-non-deliverable-settlement-swap.xml

Example that shows non-deliverable terms of an interest rate swap.

These non-deliverable terms specify the conditions under which the cashflows will be made in a different currency (the "settlement currency") than the currency in which a given leg is denominated (the "reference currency").

File: ird-ex30-swap-comp-avg-relative-date.xml

Compounding and averaging interest rate swap with relative effective dates and relative termination dates.

Effective dates equal the trade date plus two London business days. The resulting date is adjusted using the London and New York calendars and the modified following rule.

Termination dates equal the effective date plus two years. The resulting date is adjusted using the London and New York calendars and the modified following rule.

File: ird-ex31-non-deliverable-settlement-swap.xml

Example that shows within the non-deliverable terms the procedure to get a new quote when the primary settlement rate option is disrupted.

File: ird-ex32-zero-coupon-swap.xml

Example that shows a zero coupon swap with the following characteristics:

  • Floating vs fixed interest streams
  • Single term payment on both streams at termination date
  • Periodic compounding allowed on the floating rate stream
  • Periodic compounding also allowed on the fixed rate stream

File: ird-ex33-BRL-CDI-swap.xml

Example that shows a Brazilian Interest Rate swap. It consists of a fixed and a floating leg, both zero coupon and quoted in Brazilian Reals, but settled in US Dollars.

File: ird-ex34-MXN-swap.xml

Example of a Mexican swap with lunar rolls. Some characteristics:

  • The end date for a 5-year MXN IRS effective 14 Dec 2010 is 8 Dec 2015 (calculated by adding 5 * 13 * 28 days to the start date - a 'year' comprises of thirteen 28-day 'lunar' periods).
  • The calculation/payment date adjustments are Following.
  • The rollConvention is NONE.
  • Fixed leg day count fraction is ACT/360.

File: ird-ex35-inverse-floater-inverse-vs-floating.xml

On 29 April, 2009 PartyA and PartyB agree to enter into an ISDA. The terms of the contract are:

  • Effective Date of the Swap: 30 August 2009.
  • Termination Date of the Underlying Swap: 30 August, 2011
  • Notional on the Underlying Swap Amount: USD 100,000,000
  • PartyA makes quarterly payments with floating rate payments derived as 3.25% - floating rate index US-LIBOR-BBA, on an ACT/360 basis.
  • PartyB makes semi-annual payments with floating rate payment US LIBOR-BBA, on an 30/360 basis.

Things to note:

  • The use of the floatingRateMultiplierSchedule to invert the floating USD rate.

4.1 Credit Default Swap

This section contains example credit default swap trades expressed in FpML. These examples cover typical trades in the various regions and sectors that constitute the global credit default swap market.

Each example is fully described by the ISDA confirm which accompanies it. Note that the ISDA confirms represent example transactions documented under the 1999 ISDA Credit Derivatives Definitions. For the short form examples 2, 8 and 11 and the long form examples 7 and 10 additional FpML example files have been included illustrating how the deal would typically be documented under the 2003 ISDA Credit Derivatives Definitions.

The name of each example consists of three components:

  • Region/Sector: The example uses the terms that are commonly applicable at the time of the publication of this document to trades done in this region and sector. (e.g. Asian Corpoate)
  • Form: Whether the FpML description of the trade correspond to the short or long form of trade confirmation.
  • Payment Schedule: The characteristics of the fixed rate payer's payment schedule.(e.g. Fixed Regular Payment Schedule).

In some cases there is an example that uses the 2003 ISDA definitions.
4.1.1 Example 1 - Asian Corporate, Long Form, Fixed Regular Payment Schedule

FpML File: cd-ex01-long-asia-corp-fixreg.xml

ISDA Confirm: cd-ex01-long-asia-corp-fixreg.pdf

4.1.2 Example 2 - Asian Corporate, Short Form, Fixed Regular Payment Schedule

FpML File: cd-ex02-short-asia-corp-fixreg.xml

FpML File (2003 version): cd-ex02-2003-short-asia-corp-fixreg.xml

ISDA Confirm: cd-ex02-short-asia-corp-fixreg.pdf

4.1.3 Example 3 - Australian Corporate, Long Form, Fixed Regular Payment Schedule

File: cd-ex03-long-aussie-corp-fixreg.xml

ISDA Confirm: cd-ex03-long-aussie-corp-fixreg.pdf

4.1.4 Example 4 - Australian Corporate, Short Form, Fixed Regular Payment Schedule

File: cd-ex04-short-aussie-corp-fixreg.xml

ISDA Confirm: cd-ex04-short-aussie-corp-fixreg.pdf

4.1.5 Example 5 - Emerging Markets Asian Corporate, Long Form, Fixed Regular Payment Schedule

File: cd-ex05-long-emasia-corp-fixreg.xml

ISDA Confirm: cd-ex05-long-emasia-corp-fixreg.pdf

4.1.6 Example 6 - Emerging Markets European Sovereign, Long Form, Fixed Regular Payment Schedule

File: cd-ex06-long-emeur-sov-fixreg.xml

ISDA Confirm: cd-ex06-long-emeur-sov-fixreg.pdf

4.1.7 Example 7 - European Corporate, Long Form, Fixed Regular Payment Schedule

File: cd-ex07-long-euro-corp-fixreg.xml

File (2003 version): cd-ex07-2003-long-euro-corp-fixreg.xml

ISDA Confirm: cd-ex07-long-euro-corp-fixreg.pdf

4.1.8 Example 8 - European Corporate, Short Form, Fixed Regular Payment Schedule

File: cd-ex08-short-euro-corp-fixreg.xml

File (2003 version): cd-ex08-2003-short-euro-corp-fixreg.xml

ISDA Confirm: cd-ex08-short-euro-corp-fixreg.pdf

4.1.9 Example 9 - European Sovereign, Long Form, Fixed Regular Payment Schedule

File: cd-ex09-long-euro-sov-fixreg.xml

ISDA Confirm: cd-ex09-long-euro-sov-fixreg.pdf

4.1.10 Example 10 - US Corporate, Long Form, Fixed Regular Payment Schedule

File: cd-ex10-long-us-corp-fixreg.xml

File (2003 version): cd-ex10-2003-long-us-corp-fixreg.xml

ISDA Confirm: cd-ex10-long-us-corp-fixreg.pdf

4.1.11 Example 11 - US Corporate, Short Form, Fixed Regular Payment Schedule

File: cd-ex11-short-us-corp-fixreg.xml

File (2003 version): cd-ex11-2003-short-us-corp-fixreg.xml

ISDA Confirm: cd-ex11-short-us-corp-fixreg.pdf

4.1.12 Example 12 - Emerging Markets Asian Sovereign, Long Form, Fixed Regular Payment Schedule

File: cd-ex12-long-emasia-sov-fixreg.xml

ISDA Confirm: cd-ex12-long-emasia-sov-fixreg.pdf

4.1.13 Example 13 - Asia Sovereign, Long Form, Fixed Regular Payment Schedule

File: cd-ex13-long-asia-sov-fixreg.xml

ISDA Confirm: cd-ex13-long-asia-sov-fixreg.pdf

4.1.14 Example 14 - Emerging Markets Latin American Corporate, Long Form, Fixed Regular Payment Schedule

File: cd-ex14-long-emlatin-corp-fixreg.xml

ISDA Confirm: cd-ex14-long-emlatin-corp-fixreg.pdf

4.1.15 Example 15 - Emerging Markets Latin American Sovereign, Long Form, Fixed Regular Payment Schedule

File: cd-ex15-long-emlatin-sov-fixreg.xml

ISDA Confirm: cd-ex15-long-emlatin-sov-fixreg.pdf

4.1.16 Example 16 - US Corporate, Short Form, Fixed Regular Payment Schedule, Recovery Factor

File: cd-ex16-short-us-corp-fixreg-recovery-factor.xml

4.1.17 Example 17 - US Corporate, Short Form, Fixed Regular Payment Schedule, Portfolio Compression

File: cd-ex17-short-us-corp-portfolio-compression.xml

4.1.18 Example 18 - Standard North American Corporate

File: cd-ex18-standard-north-american-corp.xml

4.2.1 Example 1 - CDX Example

Transaction Supplement: cd-CDX-iTraxx-example-trades.pdf

File: cdindex-ex01-cdx.xml

4.2.2 Example 2 - iTraxx Example

Transaction Supplement: cd-CDX-iTraxx-example-trades.pdf

File: cdindex-ex02-iTraxx.xml

4.2.3 Example 3 - iTraxx Contractual Supplement Example

Transaction Supplement: cd-non-dealer-untranched-short-confirm.pdf

File: cdindex-ex03-iTraxx-contractual-supplement.xml

4.2.4 Example 4 - CDS Index Tranche

File: cds-index-tranche.xml

4.3.1 Example 1 - CDS Basket

File: cds-basket.xml

4.3.2 Example 2 - CDS Custom Basket

File: cds-custom-basket.xml

4.3.3 Example 3 - CDS Basket Tranche

File: cds-basket-tranche.xml

4.4.1 Example 1 - CDS on CMBS

File: cds-mortgage-CMBS.xml

4.4.2 Example 2 - CDS on RMBS

File: cds-mortgage-RMBS.xml

4.5.1 Example 1 - CDS Loan Secured List

File: cds-loan-SecuredList.xml

4.5.2 Example 2 - CDS Loan Reference Obligation

File: cds-loan-ReferenceObligation.xml

4.5.3 Example 3 - European CDS on Leveraged Loans Reference Obligation

File: cds-ELCDS-ReferenceObligation.xml

4.6.1 Example 1 - CDS Option

File: cd-swaption-1.xml

4.6.2 Example 2 - CDS Option

File: cd-swaption-2.xml

4.6.3 Example 3 - CDX Index Option

File: cdx-index-option.xml

4.6.4 Example 4 - iTraxx Index Option

File: itraxx-index-option.xml

4.7.1 Example 1 - Independent Amount

The independent amount structure is in the Trade level. This example shows the use of independent amount in the context of a credit default swap.

File: cd-indamt-ex01-short-us-corp-fixreg.xml

5.1 Introduction

This section contains twenty three example FpML trades related to FX and FX OTC options. Each example illustrates how different product features are modeled in FpML.

The sample xml documents are available for download from the fpml.org website.

File: fx-ex01-fx-spot.xml

On 23 October, 2001, Citibank New York and Barclay's London agree to a foreign exchange trade. The terms of the contract are:

  • Trade date: 23 October, 2001
  • Value date: 25 October, 2001
  • Barclays pays 10,000,000 GBP to Citibank
  • Citibank pays 14,800,000 USD to Barclays
  • Exchange rate equals 1.48 (USD per GBP).

Matching Service sends a TradeConfirmed message to CITI with the details of the confirmation.

File: fx-ex02-spot-cross-w-side-rates.xml

On 23 October, 2001, Chase New York and CSFB New York agree to a foreign exchange trade. The terms of the contract are similar to Example 1, but in this case, the currencies exchanged are EUR and GBP. Both of these institutions are USD-based, so rates against the base currency (USD) have been captured as well. The terms of the contract are:

  • Trade date: 23 October, 2001
  • Value date: 25 October, 2001
  • CSFB pays 100,000,000 EUR to Chase
  • Chase pays 6,300,680 USD to CSFB
  • Exchange rate equals 0.630068 (GBP per EUR).
  • GBPUSD rate equals 1.48, and EURUSD rate equals 0.9325.

Chase sends a RequestTradeConfirmation message to Matching Service with the details of the confirmation.

File: fx-ex03-fx-fwd.xml

On 19 November, 2001, ABN Amro and DeutscheBank agree to a one-month forward foreign exchange contract. The terms of the contract are:

  • Trade date: 19 November, 2001
  • Value date: 21 December, 2001
  • DB pays 10,000,000 EUR to ABN
  • ABN pays 9,175,000 USD to DB
  • Exchange rate equals 0.9175 (USD per EUR).
  • Spot rate equals 0.9130, forward points equals 0.0045.

ABN sends a RequestTradeConfirmation message to Matching Service with the details of the confirmation.

File: fx-ex04-fx-fwd-w-settlement.xml

On 12 November, 2001, UBS Zurich and Citibank New York agree to a foreign exchange contract. The terms of the contract are:

  • Trade date: 12 November, 2001
  • Value date: 21 December, 2001
  • UBS pays 10,000,000 GBP to Citi
  • Citi pays 14,643,000 USD to UBS
  • Exchange rate equals 1.4643 (USD per GBP).

Matching Service sends a TradeConfirmed message to CITI with the details of the confirmation.

Settlement is highlighted in this example. In this case, UBS pays the GBP from their account at UBS London to Citi's GBP account at Citi London, with the ultimate beneficiary being Citi New York.

For the USD, Citi pays the USD to ultimate beneficiary UBS Zurich, but in this case, UBS Zurich holds its USD at Citibank, and therefore UBS' account as Citibank is credited.

File: fx-ex05-fx-fwd-w-ssi.xml

This is identical to Example 3, but the standard settlement scheme is used to highlight that this trade will be paid using standard, pre-agreed settlement instructions.

ABN sends a RequestTradeConfirmation message to Matching Service with the details of the confirmation.

File: fx-ex06-fx-fwd-w-splits.xml

On 12 November, 2001, DeutscheBank Frankfurt and ABN Amro Amsterdam agree to a forward foreign exchange contract. The terms of the contract are:

  • Trade date: 12 November, 2001
  • Value date: 14 February, 2002
  • Deutsche pays 13,000,000 USD to ABN
  • ABN pays 14,393,600 EUR to Deutsche
  • Exchange rate equals 1.1072 (EUR per USD).

Deutsche Bank sends a TradeConfirmed message to ABN Amro with the details of the confirmation.

In this example, the exchange rate has been quoted as an "inverted" rate.

Split settlement is highlighted in this example in the payment of the USD. Here, the following has been specified:

  • 3,000,000 USD is to be paid to ABNAUS33
  • 4,000,000 USD is to be paid to ABNAUS4C
  • 6,000,000 USD is to be paid to ABNAUS6F

The ultimate beneficiary is ABNANL2A for all USD payments, but 3 different accounts have been specified for settlement.

For the EUR, ABN pays all EUR to Deutsche, but specifies settlement of the EUR via a debit of ABN's account in EUR with Deutsche.

File: fx-ex07-non-deliverable-forward.xml

On 09 January, 2002, Chase New York and CSFB New York agree to a FX non-deliverable forward contract. The terms of the contract are:

  • Trade date: 9 January, 2002
  • Fixing date and time: 9 February, 2002, 14:30
  • Business Calendar Location: Mumbai
  • Rate source: RBIB
  • Settlement currency: USD
  • Value date: 13 February, 2002
  • CSFB has agreed to notionally purchase 434M INR for 10M USD with Chase.
  • Since the contract is non-deliverable, the computed settlement will occur on the fixing date based upon the differential between the agreed-upon trade rate and the observed spot rate on the fixing date.
  • Exchange rate equals 43.40 INR per USD.

Chase sends a RequestTradeConfirmation message to CSFB with the details of the confirmation.

File: fx-ex08-fx-swap.xml

On 23 January, 2002, Chase New York and Deutsche Frankfurt agree to an FX swap contract. The terms of the contract are:

  • Trade date: 23 January, 2002
  • Value date (near leg): 25 January, 2002
  • Value date (far leg): 25 February, 2002
  • On January 25, Deutsche pays 10,000,000 GBP to Chase
  • On January 25, Chase pays 14,800,000 USD to Deutsche
  • On February 25, Chase pays 10,000,000 GBP to Deutsche
  • On February 25, Detusche pays 15,000,000 USD to Chase
  • Exchange rates equal 1.48 on near leg, 1.5 on far leg.

Deutsche Bank sends a TradeConfirmed message to Chase with the details of the confirmation.

File: fx-ex09-euro-opt.xml

On 4 December, 2001, Chase agrees to purchase a standard FX OTC option from ABN Amro. The terms of the contract are:

  • Trade date: 4 December, 2001
  • Expiry date: 4 June, 2002
  • Option buyer: Chase
  • Option seller: ABN Amro
  • Exercise style: European
  • Quote: 75m 6-month AUD Put on 36.9m USD @ strike of 0.4920
  • Option premium: 36,900 USD
  • Business Calendar Location: New York
  • Cut Name: New York

ABN Amro sends a RequestTradeConfirmation message to Chase with the details of the confirmation.

File: fx-ex10-amer-opt.xml

On 4 December, 2001, Chase agrees to purchase a standard FX OTC option from ABN Amro. The terms of the contract are:

  • Trade date: 4 December, 2001
  • Expiry date: 4 June, 2002
  • Option buyer: Chase
  • Option seller: ABN Amro
  • Exercise style: American
  • Quote: 75m 6-month AUD Put on 36.9m USD @ strike of 0.4920
  • Option premium: 36,900 USD
  • Business Calendar Location: New York
  • Cut Name: New York

ABN Amro sends a TradeConfirmed message to Chase with the details of the confirmation.

File: fx-ex11-non-deliverable-option.xml

On 15 January, 2001, Chase agrees to purchase a non-deliverable FX OTC USD / VEB option from ABN Amro. The terms of the contract are:

  • Trade date: 15 January, 2001
  • Expiry date: 9 April, 2001
  • Expiry time: 10:00
  • Value date: 11 April, 2001
  • Option buyer: Chase
  • Option seller: ABN Amro
  • Exercise style: European
  • Call currency: USD
  • Call amount: 15,000,000
  • Put currency: VEB
  • Put amount: 17,250,000
  • Strike price: 1.15
  • Option premium: 372,750 USD
  • Premium payment: 17 January, 2001
  • Business Calendar Location: New York
  • Settlement currency: USD
  • Primary rate source: VEB BCV28
  • Secondary rate source: VEB 01

ABN Amro sends a TradeConfirmed message to Chase with the details of the confirmation.

File: fx-ex12-fx-barrier-option.xml

On 16 August, 2001, DB agrees to purchase a EUR call against USD put barrier option with a knock-in

  • Trade date: 16 August, 2001
  • Expiry date: 6 February, 2002
  • Expiry time: 10:00
  • Value date: 8 February, 2002
  • Option buyer: DB
  • Option seller: Chase
  • Exercise style: European
  • Call currency: EUR
  • Call amount: 5,000,000
  • Put currency: USD
  • Put amount: 4,500,000
  • Strike price: 0.9
  • Knockin: 0.8975
  • Reference spot: 0.8935
  • Option premium: 45,000 USD
  • Premium payment: 20 August, 2002
  • Business Calendar Location: New York

Chase sends a RequestTradeConfirmation message to DB with the details of the confirmation.

File: fx-ex13-fx-dbl-barrier-option.xml

On 3 January, 2001, DB agrees to purchase a 2-month double knockout FX OTC JPY put / USD call option from Chase The terms of the contract are:

  • Trade date: 3 January, 2002
  • Expiry date: 4 March, 2002
  • Expiry time: 10:00
  • Value date: 6 March, 2002
  • Option buyer: DB
  • Option seller: Chase
  • Exercise style: European
  • Call currency: USD
  • Call amount: 23,798,191.34
  • Put currency: JPY
  • Put amount: 2,500,000,000
  • Strike price: 105.05
  • Knockout: 102
  • Knockout: 115
  • Option premium: 192,765.35 USD
  • Premium payment: 7 January, 2002
  • Business Calendar Location: New York

DB sends a RequestTradeConfirmation message to Chase with the details of the confirmation.

File: fx-ex14-euro-digital-option.xml

On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD European binary option and pays a premium. At expiry, if the spot rate is above the trigger rate, UBS receives a payout.

CITI sends a TradeConfirmed message to UBS with the details of the confirmation.

File: fx-ex15-euro-range-digital-option.xml

On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD European range binary option and pays a premium. At expiry, if below the higher trigger rate and above the lower trigger rate, UBS receives a payout.

CITI sends a RequestTradeConfirmation message to UBS with the details of the confirmation.

File: fx-ex16-one-touch-option.xml

On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD one-touch option and pays a premium. At any time before expiry, if the spot rate is above the trigger rate, UBS receives a payout, but this payout is deferred until the value date of the option.

CITI sends a TradeConfirmed message to UBS with the details of the confirmation.

File: fx-ex17-no-touch-option.xml

On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD no-touch option and pays a premium. If the spot rate remains below the trigger rate at all times until expiry, UBS receives a payout.

CITI sends a TradeConfirmed message to UBS with the details of the confirmation.

File: fx-ex18-double-one-touch-option.xml

On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD double one-touch option and pays a premium. UBS receives a payout at maturity if the spot rate has crossed either trigger rate at some time during the lifetime of the option.

UBS sends a RequestTradeConfirmation message to Citi with the details of the confirmation.

File: fx-ex19-double-no-touch-option.xml

On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD double no-touch option and pays a premium. If the spot rate remains below the upper trigger rate and above the lower trigger rate at all times until expiry, UBS receives a payout.

Chase sends a RequestTradeConfirmation message to DB with the details of the confirmation.

File: fx-ex20-avg-rate-option-parametric.xml

On 16 August, 2001, DB agrees to purchase an average rate option from Chase and pays a premium. The terms of the contract are:

  • Trade date: 16 August, 2001
  • Expiry date:
  • Option buyer: DB
  • Option seller: Chase
  • Put: 5,750,000 MXN
  • Call: 585,539.71 USD
  • Rate source: BNBX
  • Observation start date: 1 November, 2001
  • Observation end date: 30 November, 2001
  • Observation frequency: Daily, all business days for each currency

Chase sends a TradeConfirmed message to DB with the details of the confirmation.

File: fx-ex21-avg-rate-option-parametric-plus-rate-observation.xml

This example is identical to Example 20. In addition, specific dates within the schedule have been specified for which rates have been observed.

Chase sends a RequestTradeConfirmation message to DB with the details of the confirmation.

File: fx-ex22-avg-rate-option-specific.xml

This example is identical to Example 20. Instead of using a parametric frequency (e.g., daily), each specific observation date has been specified. All weighting factors are 1.0, since all rates would be weighted evenly when the average rate is computed upon expiry.

Chase sends a RequestTradeConfirmation message to DB with the details of the confirmation.

File: fx-ex23-straddle.xml

On 20 November 2001, Chase agrees to purchase a straddle from ABN Amro. A straddle consists of buying a call and a put for the same currency pair, at the same strike price.

This contains two instances of the fxSimpleOption structure within strategy. Note that this is used when a single trade reference number is desired.

ABN Amro sends a RequestTradeConfirmation message to Chase with the details of the confirmation.

File: fx-ex24-delta-hedge.xml

On 4 December, 2001, Chase agrees to purchase an FX OTC European option from ABN Amro. At the same time, they agree to hedge their FX spot risk by doing a FX spot transaction. This is all part of a single trade strategy.

ABN Amro sends a TradeConfirmed message to Chase with the details of the confirmation.

File: td-ex01-simple-term-deposit.xml

ABN Amro pays 4% CHF fixed rate loan on ACT/360 basis a for 25 million Deposit from Midland starting February 14, 2002 and maturing February 15, 2002.

ABN Amro sends a TradeConfirmed message to Midland with the details of the confirmation.

File: td-ex02-term-deposit-w-settlement-etc.xml

ABN Amro pays 4% CHF fixed rate loan on ACT/360 basis a for 25 million Deposit from Midland starting February 14, 2002 and maturing February 15, 2002. This example also demonstrates setting explicit settlement instructions for each cash flow.

ABN Amro sends a TradeConfirmed message to Midland with the details of the confirmation.

File: dcd-ex01-dual-currency-deposit.xml

ABN Amro pays 8% USD fixed rate loan on ACT/360 basis for 1 million Deposit from Midland starting June-24-2008 and maturing July 24, 2008. The principal can be repaid after being converted into the JPY (alternative currency) at 109.48 strike rate at maturity (depending on the spot foreign exchange rate.) Quote: 109.48m 1-month JPY Put on 1m USD @ strike of 109.48

ABN Amro sends a TradeConfirmed message to Midland with the details of the confirmation.

Note: this Dual Currency Deposit in FpML 4.x is represented using the Strategy component in order to bundle an instance of fxSimpleOption and termDeposit.

6.1 Introduction

This section contains examples of FpML trades for Equity Options products. Each example illustrates how different product features are modeled in FpML.

The sample xml documents are available for download from the fpml.org website.

File: eqd-ex01-american-call-stock-long-form.xml

On 13 July, 2001, Party A and Party B agree to an equity option trade. The terms of the contract are:

  • Trade Date: 13th July 2001
  • Option Style: American
  • Option Type: Call
  • Seller: Party A
  • Buyer: Party B
  • Underlying: ST Microelectronics NV
  • Number Options: 150,000
  • Option Entitlement: 1
  • Multiple Exercise: Applicable
  • Minimum Number Of Options: 1
  • Maximum Number Of Options: 150,000
  • Integral Multiple: 1
  • Strike Price: 32 EUR
  • Premium: 405,000 EUR
  • Premium Per Option: 2.70 EUR
  • Premium Payment Date: 17th July 2001
  • Exchange: EURONEXT
  • Clearance System: SICOVAM
  • Calculation Agent: Party A
  • Commencement Date: 13th July 2001
  • Latest Exercise Time: 5:15pm London
  • Expiration Time: Exchange Close
  • Expiration Date: 27th Sep 2001
  • Automatic Exercise: Applicable
  • Valuation Time Exchange: Close
  • Valuation Date Exercise: Date
  • Physical Settlement: Applicable
  • Failure To Deliver: Applicable
  • Method of Adjustment: Calculation Agent
  • Share-for-Share Merger: Alternative Obligation
  • Share-for-Other Merger: Cancellation and Payment
  • Share-for-Combined Merger: Cancellation and Payment
  • Nationalisation or Insolvency: Cancellation and Payment
  • Governing Law: English

File: eqd-ex02-calendar-spread-short-form.xml

On 13 July, 2001, Party A and Party B agree to an equity option trade. The terms of the contract are:

  • Trade Date: 13th July 2001
  • Option Style: American
  • Option Type: Call
  • Seller: Party A
  • Buyer: Party B
  • Underlying: ST Microelectronics NV
  • Number Options: 150,000
  • Option Entitlement: 1
  • Multiple Exercise: Applicable
  • Minimum Number Of Options: 1
  • Maximum Number Of Options: 150,000
  • Integral Multiple: 1
  • Strike Price: 32 EUR
  • Premium: 405,000 EUR
  • Premium Per Option: 2.70 EUR
  • Premium Payment Date: 17th July 2001
  • Exchange: EURONEXT
  • Clearance System: SICOVAM
  • Calculation Agent: Party A
  • Commencement Date: 13th July 2001
  • Latest Exercise Time: 5:15pm London
  • Expiration Time: Exchange Close
  • Expiration Date: 27th Sep 2001
  • Automatic Exercise: Applicable
  • Valuation Time Exchange: Close
  • Valuation Date Exercise: Date
  • Physical Settlement: Applicable
  • Failure To Deliver: Applicable
  • Method of Adjustment: Calculation Agent
  • Share-for-Share Merger: Alternative Obligation
  • Share-for-Other Merger: Cancellation and Payment
  • Share-for-Combined Merger: Cancellation and Payment
  • Nationalisation or Insolvency: Cancellation and Payment
  • Governing Law: English

File: eqd-ex04-european-call-index-long-form.xml

On 4 September, 2001, Party A and Party B agree to an equity option trade. The terms of the contract are:

  • Trade Date: 04-09-2001
  • Option Style: European
  • Option Type: Call
  • Seller: Party A
  • Buyer: Party B
  • Underlying: SMI Index
  • Number Options: 2,500
  • Option Entitlement: 1
  • Maximum Number Of Options: 2,500
  • Strike Price: 8,700
  • Premium: 300,000 CHF
  • Premium Payment Date: 06-09-2001
  • Exchange: SWX
  • Related Exchange: Eurex
  • Calculation Agent: Seller
  • Expiration Time: Official Settlement Price
  • Expiration Date: Valuation Date 19-12-2003
  • Automatic Exercise: Applicable
  • Valuation Date: OSP Date
  • Futures Price Valuation: Applicable
  • Exchange Traded Contract: December 2003 SMI Futures Contract on Related Exchange
  • Cash Settlement: Applicable
  • Settlement Currency: CHF
  • Cash Settlement Payment Date: Two Currency Business Days After Relevant Valuation Date

File: eqd-ex05-asian-long-form.xml

On 28 June, 2000, Party A and Party B agree to an equity option trade. The terms of the contract are:

  • Trade Date: 28-06-2000
  • Option Style: European
  • Option Type: Call
  • Seller: Party A
  • Buyer: Party B
  • Underlying: Nikkei 225 Index
  • Number Options: 79.099093
  • Option Entitlement: 1
  • Strike Price: 17475.90
  • Premium: 107,821.57 EUR
  • Premium Payment Date: 07-03-2000
  • Exchange: TSE
  • Related Exchange: OSE
  • Calculation Agent: Party A
  • Expiration Time: Close
  • Expiration Date: Valuation Date 07-01-2002
  • Averaging: 1st of every month from Aug 2000 to March 2001.
  • Market Disruption: Modified Postponement.
  • Automatic Exercise: Applicable
  • Cash Settlement: Applicable
  • Settlement Currency: EUR
  • Documentation: ISDA 2000 Definitions, ISDA 1996 Equity Derivative Definitions.
  • Governing Law: English Law.

This example shows a RequestTradeConfirmation message of this trade sent by Party A to Party B.

File: eqd-ex06-averaging-in-long-form.xml

A RequestTradeConfirmation message of an averaging long form equity option.

File: eqd-ex07-barrier-knockout-rebate-long-form.xml

A TradeConfirmed message of an European Call on Eurostoxx 50 Index traded on 1 July 2002.

  • Trade Date: 1 July 2002
  • Seller: Party A, Buyer: Party B
  • Premium: EUR 405,000 on 30 July 2002 (5% of notional)
  • Effective Date: 26 July 2002, At the money (ie. 100%)
  • Notional: USD 8,000,000
  • Valuation: Cash Close and Amount (if any) paid 3 Business Days following Expiration (in EUR).
  • Expiration (11 October 2005)
  • Calculation Agent: Party A
  • Knock out Details: 26th July 2002 - 11th October 2005, at any time during each Business Day if 150% of Strike is hit then Party A pays to Party B EUR 880,000 3 Business Days following Expiration Date.
  • Barrier Cap Details: 29th March 2002 - 12th July 2002 at 1,606.346 - triggers payment of EUR 15,000,000. Party A pays to B on 25th March 2002

File: eqd-ex08-basket-long-form.xml

A RequestTradeConfirmation message of an European call option on a basket of stocks.

  • Trade Date: 28-05-2000
  • Expiration: 01-07-2002
  • Cash settled at exercise
  • Option buyer: Party B
  • Option seller: Party A
  • Number of options: 79.099093
  • Price per option: EUR 1363.1202 (paid by Party B)
  • Premium: EUR 107,821.57
  • Payment date: 03-07-2000
  • Basket Currency: EUR
  • Basket composition:
  • i) Ahold, initial level = 26.44, weighting = 20%, listed Amsterdam SE
  • ii) Royal Dutch Shell, initial level = 58.80, weighting = 40%, listed Amsterdam SE
  • iii) Fortis, initial level = 25.09, weighting = 20%, listed Amsterdam SE
  • iv) WoltersK, initial level = 22.12, weighting = 20%, listed Amsterdam SE
  • Valuation: final close of underlying
  • Automatic Exercise: applicable
  • Calculation Agent: Party A

File: eqd-ex09-bermuda-long-form.xml

This example shows a TradeConfirmed message of a bermuda long form equity option trade.

File: eqd-ex10-binary-barrier-long-form.xml

This example shows a RequestTradeConfirmation message of a binary barrier long form equity option trade.

A European Call on S&P500 Index trade 25 March 2002:

  • Trade Date: 25 March 2002
  • Seller: Party A
  • Buyer: Party B
  • Strike Price: 900
  • Notional: USD 1,000,000
  • Premium: Party B pays EUR 405,000 on 25 March 2002
  • Calculation Agent: Party A
  • Valuation: Cash Close and Amount (if any) paid 3 Business Days following Expiration date (in EUR)
  • Expiration date: 25 June 2002
  • Barrier details: If, from 29th March 2002 to 12 July 2002 at the close of trading on the exchange on any Business Day a level of 1,606.346 is hit by the Index this triggers a payment of EUR 15,000,000 by Party B to Party A

File: eqd-ex20-nested-basket.xml

An example illustrating a nested basket underlyer.

File: eqd-ex21-flat-weight-basket.xml

An example illustrating flat basket weights.

File: eqd-ex26-mixed-asset-basket.xml

An example illustrating mixed basket underlyer.

File: eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml

An example illustrating EMEA EM (Interdealer) MCA with Foreign Ownership Event as additional disruption event.

7.1 Introduction

This section contains examples of FpML trades for Bond and Convertible Bond products. Each example illustrates how different product features are modeled in FpML.

The sample xml documents are available for download from the fpml.org website.

8.1 Introduction

This section contains example FpML trades for Equity Swaps, including Total Return Swaps. Each example illustrates how different product features are modeled in FpML.

The sample xml documents are available for download from the fpml.org website.

File: eqs-ex01-single-underlyer-execution-long-form.xml

On 24th September, 2002, Party A and Party B agree to an equity swap trade. The terms of the contract are:

  • Trade Date: 24th September 2001
  • Effective Date: 3 exchange business days after the trade date
  • Valuation Dates: 12 valuation dates, starting on October 12th, 2001 and ending on September 24th, 2002
  • Equity Payment Dates: 3 currency business days following each valuation date
  • Termination Date: On the final equity payment date
  • Payer of the Equity Amount: Party A
  • Receiver of the Equity Amount: Party B
  • Number of Underlyers: 1
  • Underlyer Type: Equity
  • Underlyer: Shire Pharmaceutical group
  • Number of Underlying Units: 760,400
  • Initial Price: USD 37.44
  • Notional Amount: USD 28,469,376
  • Type of Notional Adjustments: Execution
  • Equity Amount: Defined according to the standard ISDA Definition
  • Payment Currency for the Equity Amount: USD
  • Interim Valuation Price: The official closing price of the regular session on the Exchange
  • Final Valuation Price: The price at which Party A will unwind its hedge position
  • Return Type: Total
  • Dividend Payout Ratio: 100%
  • Dividend Entitlement Date: Ex-Date
  • Dividend Payment Date: The equity payment date on which the relevant dividend period ends
  • Payer of the Interest Amount: Party B
  • Receiver of the Interest Amount: Party A
  • Floating Rate Reference: USD-LIBOR-BBA
  • Maturity of the Floating Rate Reference: 1 month
  • Spread: Minus 0.20% per annum
  • Floating Rate Reset Date: The first day of each calculation period
  • Floating Rate Day Count Fraction: Actual/360
  • Interest Amount: Defined according to the standard ISDA Definition
  • Payment Currency for the Interest Amount: USD
  • Early Termination Option: Starting on Trade Date for Party A
  • Early Termination Option: Starting on Trade Date for Party B

Party A sends a RequestTradeConfirmation message to Party B with the details of the agreement.

File: eqs-ex02-composite-basket-long-form.xml

On 17th July, 2002, Party A and Party B agree to an equity swap trade. The terms of the contract are:

  • Trade Date: 17th July 2002
  • Effective Date: 3 exchange business days after the trade date
  • Valuation Dates: 2 valuation dates, October 17th, 2002 and January 17th, 2003
  • Equity Payment Dates: 3 currency business days following each valuation date
  • Termination Date: On the final equity payment date
  • Payer of the Equity Amount: Party A
  • Receiver of the Equity Amount: Party B
  • Number of Baskets: 1, with 6 equity constituents
  • Underlyer - Number of Units: Telecom Italia, for 432,000 units
  • Underlyer - Number of Units: Nokia Oyj, for 227,000 units
  • Underlyer - Number of Units: Telecom Italia Mobile, for 783,000 units
  • Underlyer - Number of Units: Telefonica de Espana, for 344,000 units
  • Underlyer - Number of Units: Portugal Telecom, for 340,000 units
  • Underlyer - Number of Units: Vodafone Group, for 2,486,000 units
  • Initial Price: EUR 19,785,157.16
  • Notional Amount: EUR 19,785,157.16
  • Type of Notional Adjustments: Standard
  • Equity Amount: Defined according to the standard ISDA Definition
  • Payment Currency for the Equity Amount: The reference currency of the swap
  • Interim Valuation Price: The official closing price of the regular session on the Exchange
  • Final Valuation Price: The price at which Party A will unwind its hedge position
  • Return Type: Total
  • Dividend Payout Ratio: 85% for each of the underlying shares
  • Dividend Entitlement Date: Ex-Date
  • Dividend Payment Date: The equity payment date on which the relevant dividend period ends
  • Reference Currency for the Composite FX Swap: EUR
  • Determination Method for the Exchange Rate: Good faith by the calculation agent
  • Payer of the Interest Amount: Party B
  • Receiver of the Interest Amount: Party A
  • Floating Rate Reference: EUR-EURIBOR-Telerate
  • Maturity of the Floating Rate Reference: 3 months
  • Spread: Plus 0.50% per annum
  • Floating Rate Reset Date: The first day of each calculation period
  • Floating Rate Day Count Fraction: Actual/360
  • Interest Amount: Defined according to the standard ISDA Definition
  • Payment Currency for the Interest Amount: The reference currency of the swap
  • Early Termination Option: Starting on Trade Date for Party A
  • Early Termination Option: Starting on Trade Date for Party B

Party A sends a TradeConfirmed message to Party B with the details of the agreement.

File: eqs-ex03-index-quanto-long-form.xml

On 19th July, 2002, Party A and Party B agree to an equity swap trade. The terms of the contract are:

  • Trade Date: 19th July 2002
  • Effective Date: 3 exchange business days after the trade date
  • Valuation Dates: 4 valuation dates, starting on October 21st, 2002 and July 21st, 2003
  • Equity Payment Dates: 3 currency business days following each valuation date
  • Termination Date: On the final equity payment date
  • Payer of the Equity Amount: Party A
  • Receiver of the Equity Amount: Party B
  • Number of Baskets: 1, with 3 index constituents
  • Underlyer - Number of Units: CAC40, for 960 units
  • Underlyer - Number of Units: IBEX35, for 260 units
  • Underlyer - Number of Units: HSI, for 580 units
  • Initial Price: USD 5,591,987.41
  • Notional Amount: USD 5,591,987.41
  • Type of Notional Adjustments: Standard
  • Equity Amount: Defined according to the standard ISDA Definition
  • Payment Currency for the Equity Amount: The reference currency of the swap
  • Interim Valuation Price: The official closing price of the regular session on the Exchange
  • Final Valuation Price: The price at which Party A will unwind its hedge position
  • Return Type: Price
  • Reference Currency for the Quanto: USD
  • Currency Rate 1: USD/EUR = 0.99140
  • Currency Rate 2: USD/HKD = 7.80
  • Payer of the Interest Amount: Party B
  • Receiver of the Interest Amount: Party A
  • Floating Rate Reference: USD-LIBOR-Telerate
  • Maturity of the Floating Rate Reference: 3 months
  • Spread: Plus 0.22% per annum
  • Floating Rate Reset Date: The first day of each calculation period
  • Floating Rate Day Count Fraction: Actual/360
  • Interest Amount: Defined according to the standard ISDA Definition
  • Payment Currency for the Interest Amount: The reference currency of the swap
  • Early Termination Option: Starting on Trade Date for Party A
  • Early Termination Option: Starting on Trade Date for Party B

Party A sends a RequestTradeConfirmation message to Party B with the details of the agreement.

File: eqs-ex04-zero-strike-long-form.xml

On 17th October, 2002, Party A and Party B agree to an equity swap trade. The terms of the contract are:

  • Trade Date: 17th October 2002
  • Effective Date: 24th October, 2002
  • Valuation Date: October 17th, 2003
  • Equity Payment Dates: 5 currency business days following the valuation date
  • Termination Date: On the final equity payment date
  • Payer of the Equity Amount: Party A
  • Receiver of the Equity Amount: Party B
  • Number of Underlyers: 1
  • Underlyer Type: Equity
  • Underlyer: Zee
  • Number of Underlying Units: 31,000
  • Initial Price: USD 1.8036
  • Notional Amount: EUR 55,911.60
  • Type of Notional Adjustments: Standard
  • Equity Amount: Final Price * Number of shares
  • Payment Currency for the Equity Amount: The reference currency of the swap
  • Final Valuation Price: The price at which Party A will unwind its hedge position
  • Commissions: 60 basis points
  • Return Type: Total
  • Dividend Payout Ratio: 100%
  • Dividend Entitlement Date: Ex-Date
  • Dividend Payment Date: The equity payment date on which the relevant dividend period ends
  • Reference Currency for the Composite FX Swap: USD
  • Determination Method for the Exchange Rate: Good faith by the calculation agent
  • Initial Amount Payable: USD 55,911.60
  • Initial Amount Payer: Party B
  • Initial Amount Payment Date: The effective date
  • Early Termination Option: Starting on Trade Date for Party A
  • Early Termination Option: Starting on Trade Date for Party B

Party A sends a TradeConfirmed message to Party B with the details of the agreement.

File: eqs-ex05-single-stock-plus-fee-long-form.xml

On 10th September, 2002, Party A and Party B agree to an equity swap trade. The terms of the contract are:

  • Trade Date: 10th September 2002
  • Effective Date: 12th September 2002
  • Valuation Date: March 12th, 2003
  • Equity Payment Dates: 2 currency business days following the valuation date
  • Termination Date: On the final equity payment date
  • Payer of the Equity Amount: Party A
  • Receiver of the Equity Amount: Party B
  • Number of Underlyers: 1
  • Underlyer Type: Equity
  • Underlyer: Fubon Financial Holding
  • Number of Underlying Units: 18,388,000
  • Initial Price: Average price per share obtained by Party B on Trade Date by selling the shares in the market
  • Commissions: 30 basis points
  • Notional Amount: Number of shares * Initial price
  • Type of Notional Adjustments: Standard
  • Equity Amount: Defined according to the standard ISDA Definition
  • Payment Currency for the Equity Amount: USD
  • Final Valuation Price: The price at which Party A will unwind its hedge position
  • Return Type: Total
  • Dividend Payout Ratio: Will correspond to the dividend actually received by a non-resident of Taiwan.
  • Dividend Entitlement Date: Ex-Date
  • Dividend Payment Date: The equity payment date on which the relevant dividend period ends
  • Reference Currency for the Composite FX Swap: USD
  • Determination Method for the Exchange Rate: Good faith by the calculation agent
  • Payer of the Interest Amount: Party B
  • Receiver of the Interest Amount: Party A
  • Floating Rate Reference: USD-LIBOR-BBA
  • Maturity of the Floating Rate Reference: 6 months
  • Floating Rate Reset Date: The first day of each calculation period
  • Floating Rate Day Count Fraction: Actual/360
  • Interest Amount: Defined according to the standard ISDA Definition
  • Payment Currency for the Interest Amount: USD
  • Early Termination Option: Starting on Trade Date for Party A
  • Early Termination Option: Starting on Trade Date for Party B
  • Upfront Fee Amount: (18,388,000 * Initial Price * 6.5%) + 0.63%
  • Upfront Fee Payment Date: Effective date
  • Upfront Fee Payer: Party B
  • Brokerage Fee Amount: USD 1,000
  • Brokerage Fee Payment Date: 30th September 2002
  • Payer of the Brokerage Fee: Party A
  • Receiver of the Brokerage Fee: Party C

Party A sends a RequestTradeConfirmation message to Party B with the details of the agreement.

File: eqs-ex06-single-index-long-form.xml

Party A sends a TradeConfirmed message to Party B with the details of the agreement.

File: eqs-ex07-long-form-with-stub.xml

On 17th July, 2002, Party A and Party B agree to an equity swap trade. The terms of the contract are:

  • Trade Date: 17th July 2002
  • Effective Date: 20th July 2002
  • Valuation Dates: Monthly, from 2002-07-26 to 2004-07-15
  • Equity and Interest Payment Dates: 3 currency business days following the valuation date
  • Termination Date: On the final equity payment date
  • Initial Stub: starts on the swap effective date and goes to 2002-08-01 (aka the 1st payment date); the rate is fixed at 2.125%
  • Final Stub: starts on 2004-07-01 (aka the payment date before the last) and goes to the termination date; the rate is float and corresponds to a 1 week Euribor + 50 bp

Party A sends a TradeConfirmed message to Party B with the details of the agreement.

File: eqs-ex08-composite-basket-long-form-separate-spreads.xml

Party A sends a RequestTradeConfirmation message to Party B with the details of the agreement.

The deal needs to be updated on/after the strike date to add Initial Price and Equity Notional numeric values:

File: eqs-ex15-forward-starting-pre-european-interdealer-share-swap-short-form.xml

The deal needs is updated on/after the strike date - add Initial Price and replaced Equity Notional determination method with Equity Notional numeric values:

File: eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml

The Markit IOS is a synthetic total return swap index referencing the interest component of 30-year fixed-rate Fannie Mae residential mortgage pools

File: trs-ex04-index-ios.xml

9.1 Introduction

This section contains example FpML trades for Equity Forwards. Each example illustrates how different product features are modeled in FpML.

The sample xml documents are available for download from the fpml.org website.

File: eqf-ex01-forward-stock-long-form.xml

TradeCancelled message of an Equity Forward Stock Long Form trade.

10.1 Introduction

This section contains example FpML transactions for Variance Swaps and Options. Each example illustrates how different product features are modeled in FpML.

The sample xml documents are available for download from the fpml.org website.

11.1 Introduction

This section contains example FpML trades for Correlation Swaps. Each example illustrates how different product features are modeled in FpML.

The sample xml documents are available for download from the fpml.org website.

12.1 Introduction

This section contains examples of FpML transactions for Dividend Swap product. Each example illustrates how different product features are modeled in FpML.

The sample xml documents are available for download from the fpml.org website.

14.1 Introduction

This section contains examples of FpML trades for Commodity Derivative products. Each example illustrates how different product features are modeled in FpML.

The sample xml documents are available for download from the fpml.org website.

FpML File: com-ex1-gas-swap-daily-delivery-prices-last.xml

ISDA Confirm: com-ex1-gas-swap-daily-delivery-prices-last-day.pdf

27 June 06: Party A buys from Party B a July '06 floating swap on Henry Hub Nymex at USD 6.2950/MMBTU for 2,500 MMBTU/cal day. The terms of the agreement are:

  • Trade Date: 27 June 2006
  • Single Calculation Period
  • Constant daily volume
  • Nat Gas Futures Contract underlying, published by an Exchange
  • LD1 single Pricing Date

    • Assumptions made regarding the contractual relationship between the parties for the purpose of this example only:

  • Paper Confirmation issued T+1 on 28 June 2006
  • Signed ISDA Master Agreement in place with (fictional) Effective Date of 01 September 2004 with both parties being Multibranch
  • No additional contractual legal language required in Confirmation
  • ISDA defined CRP
  • All elections and provisions silent within the Confirmation assumed to be as per ISDA standard 2005 Definitions approach
  • NB. no formatting of the paper Confirmation is represented in this example (eg. corporate logos, headers / footers, address and contact details of either party, etc)

FpML File: com-ex2-gas-swap-prices-first-day.xml

ISDA Confirm: com-ex2-gas-swap-prices-first-day.pdf

26 June 06: Party A buys from Party B a September '06 floating swap on CGPR AECO C/NIT (US$/MMBTU) at USD 5.55/MMBTU for 5,000 MMBTU. The terms of the agreement are:

  • Trade Date: 26 June 2006
  • Single Calculation Period
  • One period volume
  • Nat Gas industry publication price underlying
  • FD1 single Pricing Date

    • Assumptions made regarding the contractual relationship between the parties for the purpose of this example only:

  • Paper Confirmation issued T+1 on 27 June 2006
  • Signed ISDA Master Agreement in place with (fictional) Effective Date of 01 September 2004 with both parties being Multibranch
  • No additional contractual legal language required in Confirmation
  • ISDA defined CRP
  • All elections and provisions silent within the Confirmation assumed to be as per ISDA standard 2005 Definitions approach.
  • NB. no formatting of the paper Confirmation is represented in this example (eg. corporate logos, headers / footers, address and contact details of either party, etc)

FpML File: com-ex2-gas-swap-prices-first-day.xml

ISDA Confirm: com-ex3-gas-swap-prices-last-three-days.pdf

24 August 06: Party A buys from Party B a cal '09 floating swap on Henry Hub Nymex at USD 9.64/MMBTU for 5,000 MMBTU/cal day. The terms of the agreement are:

  • Trade Date: 24 August 2006
  • Multiple Calculation Periods of consecutive calendar months
  • Constant daily volume
  • Nat Gas Futures Contract underlying, published by an Exchange
  • LD3 multiple Pricing Date

    • Assumptions made regarding the contractual relationship between the parties for the purpose of this example only:

  • Paper Confirmation issued T+1 on 25 August 2006
  • Signed ISDA Master Agreement in place with (fictional) Effective Date of 01 September 2004 with both parties being Multibranch
  • No additional contractual legal language required in Confirmation
  • ISDA defined CRP
  • All elections and provisions silent within the Confirmation assumed to be as per ISDA standard 2005 Definitions approach
  • NB. no formatting of the paper Confirmation is represented in this example (eg. corporate logos, headers / footers, address and contact details of either party, etc)

FpML File: com-ex27-wti-put-option-asian-listedoption-date.xml

Calendar Source will allow the description of price observations based on a related product calendar.

e.g. Calendar of the WTI NYMEX Listed Option which is based on the WTI NYMEX Futures contract as defined by OIL-WTI-NYMEX.

Alternately, we can not list the calendarSource or explicitly describe the pricing dates to be based off the futures contract with: Future

FpML File: com-ex28-gas-swap-daily-delivery-prices-option-last.xml

Calendar Source will allow the description of price observations based on a related product calendar.

e.g. Calendar of the Henry Hub NAT GAS Listed Option which is based on the NYMEX NAT GAS Futures contract as defined by NATURAL GAS-HENRY HUB-NYMEX.

FpML File: com-ex37-gold-forward-offered-rate.xml

Gold Metal Lease Interest Rate Swap

Lease will be on 100ozt of Gold for a period of one year

Quarterly Calculations

Fixed Rate of -0.01%

Floating rate of 3 Month Libor - GOFO

Representation is 3 Month Libor vs. GOFO - 0.01%

























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