FpML® Financial product Markup Language Recommendation 28 May 2013 (Pretrade 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/pretrade/fpml-5-5-errata.html

Build Number: 7; Document built: Thu 05/16/2013 15:31:09.49

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

    20
        20.1 Introduction
        20.2 Interest Rate Derivative Examples
             20.2.1 Interest Rate Swaps
                 20.2.1.1 Example 1 - Fixed/Floating Single Currency Interest Rate Swap
                 20.2.1.2 Example 2 - Fixed/Floating Cross Currency Interest Rate Swap
                 20.2.1.3 Example 3 - Fixed/Floating Overnight Interest Rate Swap (OIS)
                 20.2.1.4 Example 4 - Fixed/Floating Single Currency Interest Rate Swap with Compounding
                 20.2.1.5 Example 5 - Fixed/Floating OIS USD 15M vs Fed Funds Effective Interest Rate Swap
                 20.2.1.6 Example 6 - Fixed/Floating Interest Rate Swap with Modified Termination Date
                 20.2.1.7 Example 7 - Fixed/Floating Interest Rate Swap with Modified Termination Date
                 20.2.1.8 Example 8 - Fixed/Floating Interest Rate Swap with Modified Effective Date
                 20.2.1.9 Example 9 - Fixed/Floating Interest Rate Swap with Different Fixed Calculation Pay Dates Adjustment
        20.3 Credit Derivative Examples
             20.3.1 Credit Default Swap
                 20.3.1.1 Example 1 - Single Name Credit Default Swap, Long Form
                 20.3.1.2 Example 2 - Single Name Credit Default Swap, Short Form
                 20.3.1.3 Example 3 - Single Name Credit Default Swap, USD AIG, Short Form
                 20.3.1.4 Example 4 - Single Name Credit Default Swap, EURO ADECCO, Short Form
                 20.3.1.5 Example 5 - Single Name Credit Default Swap, Non Standard IBM, Short Form
             20.3.2 Credit Default Swap Index
                 20.3.2.1 Example 6 - CDX HVOL Example
                 20.3.2.2 Example 6 - CDX, Short Form
                 20.3.2.3 Example 7 - CDX HY Example
                 20.3.2.4 Example 8 - CDX IG Example
                 20.3.2.5 Example 9 - iTraxx Eeurope Example
        20.4 Message Examples
             20.4.1 Example 1 - Request Credit Limit Check
             20.4.2 Example 3 - Limit Check Approved (Full Aproval)
             20.4.3 Example 4 - Limit Check Approved (Partial Aproval)
             20.4.4 Example 5 - Limit Check Approved (Partial Aproval, as Options)
             20.4.5 Example 6 - Limit Check Refused
             20.4.6 Example 7 - Credit Limit Report (Fuel gauge)
             20.4.7 Example 8 - Set Credit Limit
             20.4.8 Example 9 - Credit Limit Response
             20.4.9 Example 10 - Suspend Credit (Kill Switch)
             20.4.10 Example 11 - Credit Limit Response (Limit Suspended)
             20.4.11 Example 12 - Restore Credit (Unkill)
             20.4.12 Example 13 - Credit Limit Exception
             20.4.13 Example 14 - Ortder Status Notification
             20.4.14 Example 15 - Service Notification