11 DIVIDEND PRODUCT ARCHITECTURE

11.1 Dividend Scope

The Equity Derivative Working Group has extended the FpML 4.2 standard to cover Dividend Index Swap Transaction Supplement

11.2 Overall Architecture

Dividend Swap Transaction Supplement is modelled as a two legged product using an approach similar to the original two legged Return Swap model

images/dividend-swaps/ClassHierarchy.gif

11.2.1 dividendSwapTransactionSupplement

images/dividend-swaps/dividendSwapTransactionSupplement.jpg

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

11.2.2 dividendLeg

dividendLeg - Floating Payment Leg of a Dividend Swap.

images/dividend-swaps/dividendLeg.jpg

11.2.3 fixedLeg

fixedLeg - Fixed Payment Leg of a Dividend Swap.

images/dividend-swaps/fixedLeg.jpg

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