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Forward Starting Pre European Interdealer Share Swap Short Form

Forwards CDM 7.2.0
Asset class Equity
Payouts InterestRatePayoutPerformancePayout
Provenance As published by FINOS
Trader spec Not yet written

Classification

How the product classifies itself. Values marked calculated were produced by the CDM's own qualification functions rather than asserted by the sender.

SchemeQualifierSource
ISDA EquitySwap_TotalReturnBasicPerformance_SingleName Calculated by CDM

Economics in this example

Read out of the example itself. These are the values FINOS published, not a recommendation — use the example for structure, not for market data.

Trade date
2009-09-09
Effective date
2009-10-13
Termination date
2009-12-11
Day count fraction
ACT/360
Currency
EUR
Parties
2
Roles
HedgingParty, Party1, Party2

CDM types used

Every type this product instantiates. Each one links to its entry in the model reference, so you can see the attributes and conditions behind it.

TypeNamespace
FloatingRateIndex observable · asset
FloatingRateSpecification product · asset
InterestRateIndex observable · asset
InterestRatePayout product · asset
Observable observable · asset
PerformancePayout product · template
Security base · staticdata · asset · common
TradeState event · common

The CDM JSON

The full canonical document — 173 values, rooted at TradeState. Download it, or open it in the viewer to walk the tree. Published for CDM 7 and CDM 6 — the two differ in more than formatting, so each is the document as that release publishes it. The summary above is read from the CDM 7 document.

eqs-ex15-forward-starting-pre-european-interdealer-share-swap-short-form.json Download 
{
  "@model": "cdm",
  "@type": "cdm.event.common.TradeState",
  "@version": "0.0.0.master-SNAPSHOT",
  "@key": "245c42f8",
  "trade": {
    "product": {
      "taxonomy": [
        {
          "source": "ISDA",
          "value": {
            "name": {
              "@data": "EquitySwap_TotalReturnBasicPerformance_SingleName"
            }
          },
          "calculated": true
        }
      ],
      "economicTerms": {
        "effectiveDate": {
          "@key:external": "equityEffectiveDate",
          "adjustableDate": {
            "unadjustedDate": "2009-10-09",
            "dateAdjustments": {
              "businessDayConvention": "FOLLOWING"
            }
          }
        },
        "terminationDate": {
          "adjustableDate": {
            "unadjustedDate": "2009-12-09",
            "dateAdjustments": {
              "businessDayConvention": "FOLLOWING"
            }
          }
        },
        "payout": [
          {
            "@type": "cdm.product.asset.InterestRatePayout",
            "payerReceiver": {
              "payer": "Party1",
              "receiver": "Party2"
            },
            "priceQuantity": {
              "quantityReference": {
                "@ref:external": "equityNotionalAmount"
              }
            },
            "rateSpecification": {
              "@type": "cdm.product.asset.FloatingRateSpecification",
              "rateOption": {
                "@ref:scoped": "InterestRateIndex-1"
              },
              "spreadSchedule": {
                "price": {
                  "@ref:scoped": "price-1"
                }
              }
            },
            "dayCountFraction": {
              "@data": "ACT/360"
            },
            "calculationPeriodDates": {
              "@key:external": "interestCalcPeriodDates",
              "effectiveDate": {
                "@key:external": "interestEffectiveDate",
                "adjustableDate": {
                  "unadjustedDate": "2009-10-13",
                  "dateAdjustments": {
                    "businessDayConvention": "FOLLOWING"
                  }
                }
              },
              "terminationDate": {
                "@key:external": "interestTerminationDate",
                "adjustableDate": {
                  "unadjustedDate": "2009-12-11",
                  "dateAdjustments": {
                    "businessDayConvention": "FOLLOWING"
                  }
                }
              }
            },
            "paymentDates": {
              "@key:external": "interestLegPaymentDates",
              "paymentDateSchedule": {
                "interimPaymentDates": [
                  {
                    "@key:external": "interestLegPaymentDates",
                    "periodicDates": {
                      "startDate": {
                        "relativeDate": {
                          "periodMultiplier": 0,
                          "period": "D",
                          "businessDayConvention": "NotApplicable",
                          "dateRelativeTo": {
                            "@ref": "bf755dbe",
                            "@ref:external": "interestEffectiveDate"
                          }
                        }
                      },
                      "endDate": {
                        "relativeDate": {
                          "periodMultiplier": 0,
                          "period": "D",
                          "businessDayConvention": "NotApplicable",
                          "dateRelativeTo": {
                            "@ref": "bf7736bc",
                            "@ref:external": "interestTerminationDate"
                          }
                        }
                      },
                      "periodFrequency": {
                        "periodMultiplier": 1,
                        "period": "M",
                        "rollConvention": "9"
                      },
                      "periodDatesAdjustments": {
                        "businessDayConvention": "FOLLOWING"
                      }
                    }
                  }
                ]
              }
            },
            "resetDates": {
              "calculationPeriodDatesReference": {
                "@ref:external": "interestCalcPeriodDates"
              },
              "fixingDates": {
                "periodMultiplier": -2,
                "period": "D",
                "dayType": "CurrencyBusiness",
                "businessDayConvention": "PRECEDING",
                "dateRelativeTo": {
                  "@ref": "890e3f1c",
                  "@ref:external": "interestLegPaymentDates"
                }
              },
              "resetFrequency": {
                "periodMultiplier": 1,
                "period": "M"
              }
            }
          },
          {
            "@type": "cdm.product.template.PerformancePayout",
            "payerReceiver": {
              "payer": "Party2",
              "receiver": "Party1"
            },
            "settlementTerms": {
              "settlementType": "Cash",
              "settlementCurrency": {
                "@data": "EUR"
              }
            },
            "valuationDates": {
              "initialValuationDate": {
                "determinationMethod": "AgreedInitialPrice"
              },
              "interimValuationDate": {
                "determinationMethod": "ValuationTime",
                "valuationDates": {
                  "@key:external": "interimValuationDate",
                  "periodicDates": {
                    "startDate": {
                      "relativeDate": {
                        "periodMultiplier": 0,
                        "period": "D",
                        "businessDayConvention": "NotApplicable",
                        "dateRelativeTo": {
                          "@ref": "bf754eba",
                          "@ref:external": "equityEffectiveDate"
                        }
                      }
                    },
                    "endDate": {
                      "relativeDate": {
                        "periodMultiplier": 0,
                        "period": "D",
                        "businessDayConvention": "NotApplicable",
                        "dateRelativeTo": {
                          "@ref": "bf772f3a",
                          "@ref:external": "finalValuationDate"
                        }
                      }
                    },
                    "periodFrequency": {
                      "periodMultiplier": 1,
                      "period": "M",
                      "rollConvention": "9"
                    },
                    "periodDatesAdjustments": {
                      "businessDayConvention": "FOLLOWING"
                    }
                  }
                },
                "valuationTimeType": "AsSpecifiedInMasterConfirmation"
              },
              "finalValuationDate": {
                "determinationMethod": "HedgeExecution",
                "valuationDate": {
                  "@key:external": "finalValuationDate",
                  "adjustableDate": {
                    "unadjustedDate": "2009-12-09",
                    "dateAdjustments": {
                      "businessDayConvention": "FOLLOWING"
                    }
                  }
                },
                "valuationTimeType": "AsSpecifiedInMasterConfirmation"
              }
            },
            "paymentDates": {
              "paymentDateSchedule": {
                "interimPaymentDates": [
                  {
                    "relativeDates": {
                      "periodMultiplier": 2,
                      "period": "D",
                      "dayType": "CurrencyBusiness",
                      "businessDayConvention": "FOLLOWING",
                      "dateRelativeTo": {
                        "@ref": "6e25f168",
                        "@ref:external": "interimValuationDate"
                      }
                    }
                  }
                ],
                "finalPaymentDate": {
                  "relativeDate": {
                    "periodMultiplier": 2,
                    "period": "D",
                    "dayType": "CurrencyBusiness",
                    "businessDayConvention": "FOLLOWING",
                    "dateRelativeTo": {
                      "@ref": "bf772f3a",
                      "@ref:external": "finalValuationDate"
                    }
                  }
                }
              }
            },
            "underlier": {
              "@type": "cdm.observable.asset.Observable",
              "@ref:scoped": "observable-1"
            },
            "returnTerms": {
              "priceReturnTerms": {
                "returnType": "Total"
              },
              "dividendReturnTerms": {
                "dividendPayoutRatio": [
                  {
                    "totalRatio": 1,
                    "cashRatio": 1,
                    "nonCashRatio": 1
                  }
                ],
                "firstOrSecondPeriod": "SecondPeriod",
                "dividendCurrency": {
                  "determinationMethod": "IssuerPaymentCurrency"
                },
                "nonCashDividendTreatment": "PotentialAdjustmentEvent",
                "dividendComposition": "EquityAmountReceiverElection",
                "dividendPeriod": [
                  {
                    "dividendPaymentDate": {
                      "dividendDateReference": {
                        "dateReference": "CashSettlementPaymentDate"
                      }
                    }
                  }
                ]
              }
            }
          }
        ]
      }
    },
    "tradeLot": [
      {
        "priceQuantity": [
          {
            "price": [
              {
                "@key:scoped": "price-1",
                "value": 0,
                "priceType": "InterestRate",
                "arithmeticOperator": "Add"
              }
            ],
            "observable": {
              "@key:scoped": "observable-2",
              "@data": {
                "@type": "cdm.observable.asset.InterestRateIndex",
                "@key:scoped": "InterestRateIndex-1",
                "@data": {
                  "@type": "cdm.observable.asset.FloatingRateIndex",
                  "identifier": [
                    {
                      "identifier": {
                        "@data": "EUR-EURIBOR-Reuters"
                      },
                      "identifierType": "Other"
                    }
                  ],
                  "assetType": "Other",
                  "assetClass": "InterestRate",
                  "floatingRateIndex": {
                    "@data": "EUR-EURIBOR-Reuters"
                  },
                  "indexTenor": {
                    "periodMultiplier": 1,
                    "period": "M"
                  }
                }
              }
            }
          },
          {
            "quantity": {
              "@key:scoped": "quantity-1",
              "value": 100000,
              "unit": {
                "financialUnit": "Share"
              }
            },
            "observable": {
              "@key:scoped": "observable-1",
              "@data": {
                "@type": "cdm.base.staticdata.asset.common.Security",
                "identifier": [
                  {
                    "identifier": {
                      "@scheme": "http://www.example.com/instrument-id-Reuters-RIC-1-0",
                      "@data": "BMWG.DE"
                    },
                    "identifierType": "RIC"
                  },
                  {
                    "identifier": {
                      "@scheme": "http://www.example.com/instrument-id-ISIN-1-0",
                      "@data": "DE0005190003"
                    },
                    "identifierType": "ISIN"
                  },
                  {
                    "identifier": {
                      "@data": "BMW ORD"
                    },
                    "identifierType": "Name"
                  }
                ],
                "isExchangeListed": true,
                "party": [
                  {
                    "partyId": [
                      {
                        "identifier": {
                          "@scheme": "http://www.example.com/exchangeId",
                          "@data": "XETR"
                        }
                      }
                    ],
                    "name": {
                      "@scheme": "http://www.example.com/exchangeId",
                      "@data": "XETR"
                    }
                  }
                ],
                "partyRole": {
                  "partyReference": {
                    "partyId": [
                      {
                        "identifier": {
                          "@scheme": "http://www.example.com/exchangeId",
                          "@data": "XETR"
                        }
                      }
                    ],
                    "name": {
                      "@scheme": "http://www.example.com/exchangeId",
                      "@data": "XETR"
                    }
                  },
                  "role": "Exchange"
                },
                "assetType": "Security",
                "securityType": "Equity"
              }
            }
          }
        ]
      }
    ],
    "counterparty": [
      {
        "role": "Party1",
        "partyReference": {
          "@ref:external": "party2"
        }
      },
      {
        "role": "Party2",
        "partyReference": {
          "@ref:external": "party1"
        }
      }
    ],
    "adjustment": "Standard",
    "tradeIdentifier": [
      {
        "issuerReference": {
          "@ref:external": "party1"
        },
        "assignedIdentifier": [
          {
            "identifier": {
              "@scheme": "http://www.partyA.com/trade-id-1-0",
              "@data": "1558488"
            },
            "version": 1
          }
        ]
      },
      {
        "issuerReference": {
          "@ref:external": "party2"
        },
        "assignedIdentifier": [
          {
            "identifier": {
              "@scheme": "http://www.partyB.com/trade-id-1-0",
              "@data": "8848551"
            },
            "version": 1
          }
        ]
      }
    ],
    "tradeDate": {
      "@data": "2009-09-09"
    },
    "party": [
      {
        "@key:external": "party1",
        "partyId": [
          {
            "identifier": {
              "@scheme": "http://www.fpml.org/coding-scheme/dummy-party-id",
              "@data": "Party A"
            }
          }
        ],
        "name": {
          "@data": "AAA Bank"
        }
      },
      {
        "@key:external": "party2",
        "partyId": [
          {
            "identifier": {
              "@scheme": "http://www.fpml.org/coding-scheme/dummy-party-id",
              "@data": "Party B"
            }
          }
        ],
        "name": {
          "@data": "Mega Bank Ltd"
        }
      }
    ],
    "partyRole": [
      {
        "partyReference": {
          "@ref:external": "party2"
        },
        "role": "HedgingParty"
      }
    ],
    "contractDetails": {
      "documentation": [
        {
          "agreementDate": "2009-09-01",
          "legalAgreementIdentification": {
            "agreementName": {
              "agreementType": "MasterConfirmation",
              "masterConfirmationType": {
                "@data": "ISDA2009EquityEuropeanInterdealer"
              },
              "masterConfirmationAnnexType": {
                "@data": "ISDA2009EquityEuropeanInterdealerSS"
              }
            }
          },
          "contractualParty": [
            {
              "@ref:external": "party2"
            },
            {
              "@ref:external": "party1"
            }
          ]
        }
      ]
    }
  }
}

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