# FpML® Financial product Markup Language Recommendation 28 May 2013 (Confirmation View)

## Version: 5.5

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

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

#### Previous version: http://www.fpml.org/spec/fpml-5-5-6-tr-2/

#### Errata for this version: http://www.fpml.org/spec/fpml-5-5-7-rec-1/html/confirmation/fpml-5-5-errata.html

Build Number: 7; Document built: Thu 05/16/2013 14:52:31.67

Copyright (c) 1999 - 2013 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

The FpML specifications provided are without warranty of any kind, either expressed or implied, including, without limitation, warranties that FpML, or the FpML specifications are free of defects, merchantable, fit for a particular purpose or non-infringing. The entire risk as to the quality and performance of the specifications is with you. Should any of the FpML specifications prove defective in any respect, you assume the cost of any necessary servicing or repair. Under no circumstances and under no legal theory, whether tort (including negligence), contract, or otherwise, shall ISDA, any of its members, or any distributor of documents or software containing any of the FpML specifications, or any supplier of any of such parties, be liable to you or any other person for any indirect, special, incidental, or consequential damages of any character including, without limitation, damages for loss of goodwill, work stoppage, computer failure or malfunction, or any and all other commercial damages or losses, even if such party shall have been informed of the possibility of such damages.

## Table Of Contents

## 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 Confirmation

####

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 Consent

####

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.

### 1.5 Execution Advice

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 Execution Notification

####

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 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 Trade Information Update

####

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 Option Exercise / Expiry

####

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)

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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

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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

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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

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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.

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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

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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.

### 1.9 Clearing

####

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

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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

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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 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.

####

1.9.14 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.

## 2 Interest Rate Derivative Examples

### 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.

### 2.2 Example 1 - Fixed/Floating Single Currency Interest Rate Swap

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

### 2.3 Example 2 - Fixed/Floating Single Currency Interest Rate Swap with Initial Stub Period and Notional Amortization

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

### 2.4 Example 3 - Fixed/Floating Single Currency Interest Rate Swap with Compounding, Payment Delay and Final Rate Rounding

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.

### 2.5 Example 4 - Fixed/Floating Single Currency Interest Rate Swap with Arrears Reset, Step-Up Coupon and Upfront Fee

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.

### 2.6 Example 5 - Fixed/Floating Single Currency Interest Rate Swap with Long Initial Stub and Short Final Stub

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.

### 2.7 Example 6 - Fixed/Floating Cross Currency Interest Rate Swap

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.

### 2.8 Example 7 - Fixed/Floating Overnight Interest Rate Swap (OIS)

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.

### 2.9 Example 8 - Forward Rate Agreement

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.

### 2.10 Example 9 - European Swaption, Physical Settlement, Explicit Underlying Effective Date

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.

### 2.11 Example 10 - European Swaption, Physical Settlement, Relative Underlying Effective Date

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.

### 2.12 Example 11 - European Swaption, Physical Settlement, Partial Exercise, Automatic Exercise

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.

### 2.13 Example 12 - European Swaption, Cash Settlement, Swaption Straddle

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.

### 2.14 Example 13 - European Swaption, Cash Settled, cashflows included

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

### 2.15 Example 14 - Bermuda Swaption, Physical Settlement.

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.

### 2.16 Example 15 - American Swaption, Physical Settlement.

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.

### 2.17 Example 16 - Fixed/Floating Single Currency IRS With Mandatory Early Termination.

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

### 2.18 Example 17 - Fixed/Floating Single Currency IRS With European Style Optional Early Termination.

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

### 2.19 Example 18 - Fixed/Floating Single Currency IRS With Bermuda Style Optional Early Termination, Cashflows + optionalEarlyTerminationAdjustedDates.

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.

### 2.20 Example 19 - Fixed/Floating Single Currency IRS With American Style Optional Early Termination.

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

### 2.21 Example 20 - Fixed/Floating Single Currency IRS With European Cancelable Provision.

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)

### 2.22 Example 21 - Fixed/Floating Single Currency IRS With European Extendible Provision.

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

### 2.23 Example 22 - Interest Rate Cap

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.

### 2.24 Example 23 - Interest Rate Floor

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.

### 2.25 Example 24 - Interest Rate Collar

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.

### 2.26 Example 25 - Fixed/Floating IRS Where The Floating Stream Notional Is Reset Based On Prevailing Spot Exchange Rate

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.

### 2.27 Example 26 - Fixed/Floating IRS Where The Floating Stream Notional Is Reset Based On Prevailing Spot Exchange Rate - Cashflows.

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

### 2.28 Example 27 - Inverse Floater

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.

### 2.29 Example 28 - Bullet Payments

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

### 2.30 Example 29 - Swap with Non-Deliverable Settlement Provision

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").

### 2.31 Example 30 - Compounding and Averaging Swap with Relative Dates

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.

### 2.32 Example 31 - Swap with Non-Deliverable Settlement Provision

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.

### 2.33 Example 32 - Zero Coupon Swap

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

### 2.34 Example 33 - Brazilian Interest Rate Swap

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.

### 2.35 Example 34 - Mexican Interest Rate Swap

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.

### 2.36 Example 35 - Inverse Floater vs. Floating

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.

## 3 Inflation Swaps Examples

### 3.1 Introduction

This section contains example FpML trades for Inflation 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.

### 3.2 Example 1 - Year-on-Year

File: inflation-swap-ex01-yoy.xml

### 3.3 Example 2 - Year-on-Year with Bond Reference

File: inflation-swap-ex02-yoy-bond-reference.xml

### 3.4 Example 3 - Year-on-Year Initial Level

File: inflation-swap-ex03-yoy-initial-level.xml.xml

### 3.5 Example 4 - Year-on-Year with Interpolation

File: inflation-swap-ex04-yoy-interp.xml

### 3.6 Example 5 - Zero-Coupon

File: inflation-swap-ex05-zc.xml

## 4 Credit Derivative Examples

### 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 Credit Default Swap Index

####

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 Credit Default Swap Basket

####

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 Mortgage Derivatives

####

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 Loan Derivatives

####

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 Credit Default Swap Option

####

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 Independent Amount

####

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 Foreign Exchange Examples

### 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.

### 5.2 Example 1 - FX Spot

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.

### 5.3 Example 2 - FX Spot 'Cross' (non-base currency) with Cross Rates

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.

### 5.4 Example 3 - FX Forward

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.

### 5.5 Example 4 - FX Forward with specific Settlement Instructions

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.

### 5.6 Example 5 - FX Forward identified as using standard settlement instructions

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.

### 5.7 Example 6 - FX Forward with split settlement

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.

### 5.8 Example 7 - Non-deliverable FX Forward

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.

### 5.9 Example 8 - FX Swap

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.

### 5.10 Example 9 - FX OTC Option - European exercise

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.

### 5.11 Example 10 - FX OTC Option - American exercise

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.

### 5.12 Example 11 - Non-deliverable FX OTC Option

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.

### 5.13 Example 12 - FX OTC Barrier Option

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.

### 5.14 Example 13 - FX OTC Double Barrier Option

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.

### 5.15 Example 14 - FX OTC Digital/Binary Option -- Euro Binary

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.

### 5.16 Example 15 - FX OTC Digital/Binary Option -- Euro Range Digital

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.

### 5.17 Example 16 - FX OTC Digital/Binary Option -- One-Touch

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.

### 5.18 Example 17 - FX OTC Digital/Binary Option -- No-Touch

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.

### 5.19 Example 18 - FX OTC Digital/Binary Option -- Double One-Touch

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.

### 5.20 Example 19 - FX OTC Digital/Binary Option -- Double No-Touch

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.

### 5.21 Example 20 - FX OTC Average Rate Option with Parametric Schedule

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.

### 5.22 Example 21 - FX OTC Average Rate Option with Parametric Schedule with Rate Observation

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.

### 5.23 Example 22 - FX OTC Average Rate Option with Specific Date Schedule

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.

### 5.24 Example 23 - Straddle (sample usage of Strategy)

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.

### 5.25 Example 24 - Delta Hedge (sample usage of Strategy)

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.

### 5.26 Example 25 - FX Option Strategy Component Identifier

File: fx-ex25-option-strategyComponentIdentifier.xml

### 5.27 Example 26 - FX Swap with Multiple USI(s)

File: fx-ex26-fxswap-multiple-USIs.xml

### 5.28 Example 27 - FX Flexible Term Forward

File: fx-ex27-flexible-term-forward.xml

### 5.29 Example 28 - - Non-deliverable FX Forward with disruption events

File: fx-ex28-non-deliverable-w-disruption.xml

### 5.30 Term Deposit Example 1 - Simple Term Deposit

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.

### 5.31 Term Deposit Example 2 - Term Deposit with Settlement Instructions

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.

### 5.32 Term Deposit Example 2 - Term Deposit with Dual Currency feature

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 Equity Options Examples

### 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.

### 6.2 Example 1 - American Call Stock Long Form

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

### 6.3 Example 2 - Calendar Spread Short Form

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

### 6.4 Example 3 - Call or Put Spread Short Form

File: eqd-ex03-call-or-put-spread-short-form.xml

### 6.5 Example 4 - European Call Index Long Form

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

### 6.6 Example 5 - Asian Option Long Form

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.

### 6.7 Example 6 - Averaging In Long Form

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

A RequestTradeConfirmation message of an averaging long form equity option.

### 6.8 Example 7 - Barrier Knockout with Rebate Long Form

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

### 6.9 Example 8 - Basket Long Form

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

### 6.10 Example 9 - Bermuda Long Form

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

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

### 6.11 Example 10 - Binary Barrier Long Form

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

### 6.12 Example 11 - Quanto Long Form

File: eqd-ex11-quanto-long-form.xml

### 6.13 Example 12 - Vanilla Short Form

File: eqd-ex12-vanilla-short-form.xml

### 6.14 Example 13 - 1996 American Call Stock

File: eqd-ex13-1996-american-call-stock.xml

### 6.15 Example 14 - American Call Stock Passthrough Long Form

File: eqd-ex14-american-call-stock-passthrough-long-form.xml

### 6.16 Example 15 - Basket Passthrough Long Form

File: eqd-ex15-basket-passthrough-long-form.xml

### 6.17 Example 16 - Equity Option Transaction Supplement

File: eqd-ex16-equityOptionTransactionSupplement.xml

### 6.18 Example 17 - Equity Option Transaction Supplement Non-Deliverable Share

File: eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml

### 6.19 Example 18 - Equity Option Transaction Supplement Non-Deliverable Index

File: eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml

### 6.20 Example 19 - Dividend Adjustment

File: eqd-ex19-dividend-adjustment.xml

### 6.21 Example 20 - Nested Basket

File: eqd-ex20-nested-basket.xml

An example illustrating a nested basket underlyer.

### 6.22 Example 21 - Nested Basket

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

An example illustrating flat basket weights.

### 6.23 Example 22 - Equity Option Transaction Supplement (Index Option) Asian Dates

File: eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml

An example illustrating asian dates.

### 6.24 Example 23 - Equity Option Transaction Supplement (Index Option) Cliquet

File: eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml

An example illustrating cliquet.

### 6.25 Example 24 -Equity Option Transaction Supplement (Index Option) Asian Schedule

File: eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml

An example illustrating Asian schedule.

### 6.26 Example 25 -Equity Option Transaction Supplement (Index Option) Knock-In-Knock-Out Features

File: eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml

An example illustrating Knock-In-Knock-Out Features.

### 6.27 Example 26 -Equity Option Mixed Asset Basket

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

An example illustrating mixed basket underlyer.

### 6.28 Example 27 - Equity Option Transaction Supplement EMEA EM (Interdealer)

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

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

## 7 Bond and Convertible Bond Option Examples

### 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.

### 7.2 Example 1 - Bond Option

File: bond-option.xml

### 7.3 Example 2 - Convertible Bond Option

File: cb-option.xml

### 7.4 Example 3 - Convertible Bond Option

File: cb-option-2.xml

## 8 Equity Swaps Examples

### 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.

### 8.2 Example 1 - Single Underlyer Execution Swap Long Form

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.

### 8.3 Example 2 - Composite Basket Swap Long Form

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.

### 8.4 Example 3 - Index Swap With a Quanto Feature Long Form

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.

### 8.5 Example 4 - Zero-strike Equity Swap

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.

### 8.6 Example 5 - Single Underlyer Swap with an Upfront Fee as well as a Brokerage Fee Long Form

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.

### 8.7 Example 6 - Single Index Long Form

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

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

### 8.8 Example 7 - Single Underlyer Swap with both an Initial and a Final Stub

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.

### 8.9 Example 8 - Composite basket long form with separate spreads

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.

### 8.10 Example 9 - Compounding Swap

File: eqs-ex09-compounding-swap.xml

### 8.11 Example 10 - Short form Interest Leg driving schedule dates

File: eqs-ex10-short-form-interestLeg-driving-schedule-dates.xml

### 8.12 Example 11 - Equity Accrual Swap on European Index Underlyer Short Form

File: eqs-ex11-on-european-index-underlyer-short-form.xml

### 8.13 Example 12 - Equity Accrual Swap on European Index Underlyer Short Form

File: eqs-ex12-on-european-index-underlyer-short-form.xml

### 8.14 Example 13 - Pan-Asia Interdealer Share Swap Short Form

File: eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml

### 8.15 Example 14 - European Interdealer Share Swap Short Form

File: eqs-ex14-european-interdealer-share-swap-short-form.xml

### 8.16 Example 15 and 16 - Forward Starting European Interdealer Share Swap Short Form

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

### 8.17 Example 17 - Contract For Difference (CFD)

File: eqs-ex17-cfd.xml

### 8.18 Example 18 - Pan Asia Interdealer Index Swap Short Form

File: eqs-ex18-pan-asia-interdealer-index-swap-short-form.xml

### 8.19 Example 19 - European Interdealer Fair Value Share Swap Short Form

File: eqs-ex19-european-interdealer-fair-value-share-swap-short-form.xml

### 8.20 Example 1 - Total Return Swaps on Equity Basket

File: trs-ex01-equity-basket.xml

### 8.21 Example 2 - Total Return Swaps on Single Equity

File: trs-ex02-single-equity.xml

### 8.22 Example 3 - Total Return Swaps on Single Stock Execution Swap with Fixing Dates and Dividend Payment Date

File: trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml

### 8.23 Example 4 - Total Return Swaps on Markit IOS Index

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 Equity Forwards Examples

### 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.

### 9.2 Example 1 - Equity Forward Stock Long Form

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

TradeCancelled message of an Equity Forward Stock Long Form trade.

## 10 Variance Derivatives Examples

### 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.

### 10.2 Example 1 - Variance Swap Index

File: eqvs-ex01-variance-swap-index.xml

### 10.3 Example 2 - Variance Swap Single Stock

File: eqvs-ex02-variance-swap-single-stock.xml

### 10.4 Example 3 - Conditional Variance Swap

File: eqvs-ex03-conditional-variance-swap.xml

### 10.5 Example 4 - Dispersion Variance Swap Long Form

File: eqvs-ex04-dispersion-variance-swap.xml

### 10.6 Example 5 - Dispersion Variance Swap Transaction Supplemen

File: eqvs-ex05-dispersion-variance-swap-transaction-supplement.xml

### 10.7 Example 6 - Variance Option Transaction Supplemen

File: eqvs-ex06-variance-option-transaction-supplement.xml

## 11 Correlation Derivatives Examples

### 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.

### 11.2 Example 1 - Correlation Swap

File: eqcs-ex01-correlation-swap.xml

### 11.3 Example 2 - Correlation Swap Confirmation

File: eqcs-ex02-correlation-swap-confirmation.xml

### 11.4 Example 3 - Correlation Swap Confirmation

File: eqcs-ex03-correlation-swap-confirmation.xml

### 11.5 Example 4 - Correlation Swap Confirmation

File: eqcs-ex04-correlation-swap-confirmation.xml

## 12 Dividend Derivatives Examples

### 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.

### 12.2 Example 1 - Dividend Swap

File: div-ex01-dividend-swap.xml

### 12.3 Example 2 - Dividend Swap Collateral

File: div-ex02-dividend-swap-collateral.xml

### 12.4 Example 3 - Short Form Dividend Swap for Japanese Underlyer

File: div-ex03-dividend-swap-short-form-japanese-underlyer.xml

## 13 Securities Examples

### 13.1 Introduction

This section contains example FpML trades for securities.

### 13.2 Example 1 - Future

File: sec-ex001-trade-execution-future.xml

### 13.3 Example 2 - Exchange Traded Option

File: sec-ex002-trade-execution-exchange-traded-option.xml

## 14 Commodity Derivative Examples

### 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.

### 14.2 Example 1 - Gas Swap (North America) Daily Delivery - Prices Last Day

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)

### 14.3 Example 2 - Gas Swap (North America) Prices First Day

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)

### 14.4 Example 3 - Gas Swap (North America) Prices Last Three Days

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)

### 14.5 Example 4 - Electricity Swap (North America) Hourly Off Peak

FpML File: com-ex4-electricity-swap-hourly-off-peak.xml

ISDA Confirm: com-ex4-electricity-swap-hourly-off-peak.pdf

### 14.6 Example 5 - Gas v Electricity Spark Spread

FpML File: com-ex5-gas-v-electricity-spark-spread.xml

ISDA Confirm: com-ex5-gas-v-electricity-spark-spread.pdf

### 14.7 Example 6 - Gas Call Option

FpML File: com-ex6-gas-call-option.xml

ISDA Confirm: com-ex6-gas-call-option.pdf

### 14.8 Example 7 - Gas Put Option

FpML File: com-ex7-gas-put-option.xml

ISDA Confirm: com-ex7-gas-put-option.pdf

### 14.9 Example 8 - Oil Call Option Strip

FpML File: com-ex8-oil-call-option-strip.xml

ISDA Confirm: com-ex8-oil-call-option-strip.pdf

### 14.10 Example 9 - Oil Put Option American

FpML File: com-ex9-oil-put-option-american.xml

### 14.11 Example 10 - Physical Oil Pipeline Crude WTI Floating Price (ISDA or LEAP)

FpML File: com-ex10-physical-oil-pipeline-crude-wti-floating-price.xml

ISDA Confirm: com-ex10-physical-oil-pipeline-crude-wti-floating-price (ISDA or LEAP).pdf

### 14.12 Example 11 - Physical Oil Pipeline Heating Oil Fixed Price (ISDA or LEAP)

FpML File: com-ex11-physical-oil-pipeline-heating-oil-fixed-price.xml

ISDA Confirm: com-ex11-physical-oil-pipeline-heating-oil-fixed-price (ISDA or LEAP).pdf

### 14.13 Example 12 - Physical Gas Europe ZBT Fixed Price (ISDA)

FpML File: com-ex12-physical-gas-europe-zbt-fixed-price.xml

ISDA Confirm: com-ex12-physical-gas-europe-zbt-fixed-price (ISDA).pdf

### 14.14 Example 13 - Physical Gas US TW West Texas Pool Floating Price 4 Days (ISDA)

FpML File: com-ex13-physical-gas-us-tw-west-texas-pool-floating-price-4-days.xml

ISDA Confirm: com-ex13-physical-gas-us-tw-west-texas-pool-floating-price-4-days (ISDA).pdf

### 14.15 Example 14 - Physical Gas Europe TTF Fixed Price (EFET)

FpML File: com-ex14-physical-gas-europe-ttf-fixed-price.xml

ISDA Confirm: com-ex14-physical-gas-europe-ttf-fixed-price (EFET).pdf

### 14.16 Example 15 - Physical Oil Pipeline Crude WCS Fixed Price

FpML File: com-ex15-physical-oil-pipeline-crude-wcs-fixed-price.xml

ISDA Confirm: com-ex15-physical-oil-pipeline-crude-wcs-fixed-price (other docs).pdf

### 14.17 Example 16 - Physical Power US EEI Floating Price

FpML File: com-ex16-physical-power-us-eei-floating-price.xml

ISDA Confirm: com-ex16-physical-power-us-eei-floating-price.pdf

### 14.18 Example 17 - Physical Power UK GTMA Fixed Price

FpML File: com-ex17-physical-power-uk-gtma-fixed-price.xml

ISDA Confirm: com-ex17-physical-power-uk-gtma-fixed-price.pdf

### 14.19 Example 18 - Physical Power US EEI Fixed Price Shaped Volume

FpML File: com-ex18-physical-power-us-eei-fixed-price-shaped-volume.xml

ISDA Confirm: com-ex18-physical-power-us-eei-fixed-price-shaped-volume.pdf

### 14.20 Example 19 - Physical Bullion Forward

FpML File: com-ex19-physical-bullion-forward.xml

### 14.21 Example 20 - Physical Coal US Fixed Pprice

FpML File: com-ex20-physical-coal-us-fixed-price.xml

FpML File: com-ex20-physical-coal-us-fixed-price.pdf

### 14.22 Example 21 - Physical Power US EEI Fixed Price Shaped Volume and Price

FpML File: com-ex21-physical-power-us-eei-fixed-price-shaped-volume-and-price.xml

FpML File: com-ex21-physical-power-us-eei-fixed-price-shaped-volume-and-price.pdf

### 14.23 Example 22 - Physical Gas Option Multiple Expiration

FpML File: com-ex22-physical-gas-option-multiple-expiration.xml

ISDA Confirm: com-ex22-physical-gas-option-multiple-expiration.pdf

### 14.24 Example 23 - Physical Power Option Daily Expiration - EFET

FpML File: com-ex23-physical-power-option-daily-expiration-efet.xml

EFET Confirm: com-ex23-physical-power-option-daily-expiration-efet.pdf

### 14.25 Example 24 - Physical CDD Weather Index Swap

FpML File: com-ex24-weather-index-swap.xml

Confirm: com-ex24-CDD-weather-index-swap.pdf

### 14.26 Example 25 - Physical Bullion Average Price Forward

FpML File: com-ex25-physical-bullion-forward-average-price.xml

### 14.27 Example 26 - Physical Metal Forward

FpML File: com-ex26-physical-metal-forward.xml

Confirm: com-ex26-physical-metal-forward.pdf

### 14.28 Example 27 - WTI Put Option Asian Listedoption Date

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

### 14.29 Example 28 - Gas Swap Daily Delivery Prices Option last

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.

### 14.30 Example 29 - Physical EU Emissions Option

FpML File: com-ex29-physical-eu-emissions-option.xml

Confirm: com-ex29-physical-eu-emissions-option.pdf

### 14.31 Example 30 - Physical EU Emissions Forward

FpML File: com-ex30-physical-eu-emissions-forward.xml

Confirm: com-ex30-physical-eu-emissions-forward.pdf

### 14.32 Example 31 - Physical US Emissions Option

FpML File: com-ex31-physical-us-emissions-option.xml

Confirm: com-ex31-physical-us-emissions-option.pdf

### 14.33 Example 32 - CPD Weather Option

FpML File: com-ex32-CPD-weather-option.xml

Confirm: com-ex32-CPD-weather-option.pdf

### 14.34 Example 34 - Gas Put European Floating Strike Option

FpML File: com-ex34-gas-put-option-european-floating-strike.xml

Confirm: com-ex34-gas-put-option-european-floating-strike.pdf

### 14.35 Example 35 - Gas Power Heat Rate Daily Call Option

FpML File: com-ex35-call-option-gas-power-heat-rate-daily.xml

Confirm: com-ex35-call-option-gas-power-heat-rate-daily.pdf

### 14.36 Example 36 - Gas Call Option European with Spread, Negative Premium and Floating Strike Price

FpML File: com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.xml

Confirm: com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.pdf

### 14.37 Example 37 - Gold Forward Offered Rate

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%