Equity Swap CFD
Swaps CDM 7.2.0An equity swap contract for difference.
Classification
How the product classifies itself. Values marked calculated were produced by the CDM's own qualification functions rather than asserted by the sender.
| Scheme | Qualifier | Source |
|---|---|---|
| Other | EQCFD | Asserted |
| 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
- 2009-09-30
- Effective date
- 2009-10-07
- Termination date
- 2019-10-01
- Currency
- USD
- Parties
- 2
- Roles
- 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.
| Type | Namespace |
|---|---|
| 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 — 129 values, rooted at TradeState. Download it, or open it in the viewer to walk the tree.
eqs-ex17-cfd.json Download
{
"@model": "cdm",
"@type": "cdm.event.common.TradeState",
"@version": "0.0.0.master-SNAPSHOT",
"@key": "54d163a7",
"trade": {
"product": {
"taxonomy": [
{
"source": "Other",
"value": {
"name": {
"@scheme": "http://www.primarybank.com/productType",
"@data": "EQCFD"
}
}
},
{
"source": "ISDA",
"value": {
"name": {
"@data": "EquitySwap_TotalReturnBasicPerformance_SingleName"
}
},
"calculated": true
}
],
"economicTerms": {
"effectiveDate": {
"@key:external": "EffectiveDate__CFD123456789",
"adjustableDate": {
"unadjustedDate": "2009-10-07",
"dateAdjustments": {
"businessDayConvention": "NotApplicable"
}
}
},
"terminationDate": {
"@key:external": "TerminationDate__CFD123456789",
"adjustableDate": {
"unadjustedDate": "2019-10-01",
"dateAdjustments": {
"businessDayConvention": "NotApplicable"
}
}
},
"payout": [
{
"@type": "cdm.product.template.PerformancePayout",
"payerReceiver": {
"payer": "Party1",
"receiver": "Party2"
},
"priceQuantity": {
"quantitySchedule": {
"@ref:scoped": "quantity-1"
},
"reset": false
},
"settlementTerms": {
"settlementType": "Cash",
"settlementCurrency": {
"@data": "USD"
}
},
"valuationDates": {
"finalValuationDate": {
"determinationMethod": "HedgeExecution",
"valuationDate": {
"@key:external": "FinalValuationDate__CFD123456789",
"adjustableDate": {
"unadjustedDate": "2019-10-01",
"dateAdjustments": {
"businessDayConvention": "NotApplicable"
}
}
}
}
},
"paymentDates": {
"paymentDateSchedule": {
"finalPaymentDate": {
"adjustableDate": {
"unadjustedDate": "2019-10-01",
"dateAdjustments": {
"businessDayConvention": "FOLLOWING"
}
}
}
}
},
"underlier": {
"@type": "cdm.observable.asset.Observable",
"@ref:scoped": "observable-1"
},
"fxFeature": [
{
"referenceCurrency": {
"@key:external": "ReferenceCurrency",
"@data": "USD"
}
}
],
"returnTerms": {
"priceReturnTerms": {
"returnType": "Total"
},
"dividendReturnTerms": {
"dividendPayoutRatio": [
{
"totalRatio": 1
}
],
"dividendReinvestment": false,
"dividendEntitlement": "ExDate",
"dividendCurrency": {
"currency": {
"@data": "USD"
}
},
"dividendPeriod": [
{
"startDate": {
"dividendDate": {
"@ref": "3eca5e",
"@ref:external": "TradeDate__CFD123456789"
}
},
"endDate": {
"dividendDate": {
"@ref:external": "FinalValuationDate__CFD123456789"
}
},
"dividendPaymentDate": {
"dividendDateReference": {
"dateReference": "AdHocDate"
}
}
}
]
}
}
},
{
"@type": "cdm.product.asset.InterestRatePayout",
"payerReceiver": {
"payer": "Party2",
"receiver": "Party1"
},
"priceQuantity": {
"quantitySchedule": {
"@ref:scoped": "quantity-2"
}
},
"rateSpecification": {
"@type": "cdm.product.asset.FloatingRateSpecification",
"rateOption": {
"@ref:scoped": "InterestRateIndex-1"
},
"spreadSchedule": {
"price": {
"@ref:scoped": "price-1"
}
}
},
"dayCountFraction": {
"@data": "ACT/360"
},
"calculationPeriodDates": {
"@key:external": "InterestLegPeriodDates-1",
"effectiveDate": {
"adjustableDate": {
"unadjustedDate": "2009-10-07",
"dateAdjustments": {
"businessDayConvention": "NotApplicable"
}
}
},
"terminationDate": {
"adjustableDate": {
"unadjustedDate": "2019-10-01",
"dateAdjustments": {
"businessDayConvention": "NotApplicable"
}
}
}
},
"paymentDates": {
"paymentDateSchedule": {
"interimPaymentDates": [
{
"adjustableDates": {
"unadjustedDate": [
"2019-10-01"
],
"dateAdjustments": {
"businessDayConvention": "FOLLOWING"
}
}
}
]
}
},
"resetDates": {
"calculationPeriodDatesReference": {
"@ref:external": "InterestLegPeriodDates-1"
},
"resetRelativeTo": "CalculationPeriodStartDate"
}
}
]
}
},
"tradeLot": [
{
"priceQuantity": [
{
"price": [
{
"@key:scoped": "price-2",
"value": 80,
"perUnitOf": {
"financialUnit": "Share"
},
"priceType": "AssetPrice",
"priceExpression": "PercentageOfNotional",
"derivedQuantity": {
"value": 3840000,
"unit": {
"currency": {
"@data": "USD"
}
}
}
}
],
"quantity": {
"@key:scoped": "quantity-3",
"value": 48000,
"unit": {
"financialUnit": "Share"
}
},
"observable": {
"@key:scoped": "observable-1",
"@data": {
"@type": "cdm.base.staticdata.asset.common.Security",
"identifier": [
{
"identifier": {
"@scheme": "RIC",
"@data": "XYZ.N"
},
"identifierType": "RIC"
}
],
"isExchangeListed": true,
"party": [
{
"partyId": [
{
"identifier": {
"@scheme": "MARKET_ID",
"@data": "NYSE"
}
}
],
"name": {
"@scheme": "MARKET_ID",
"@data": "NYSE"
}
}
],
"partyRole": {
"partyReference": {
"partyId": [
{
"identifier": {
"@scheme": "MARKET_ID",
"@data": "NYSE"
}
}
],
"name": {
"@scheme": "MARKET_ID",
"@data": "NYSE"
}
},
"role": "Exchange"
},
"assetType": "Security",
"securityType": "Equity"
}
}
},
{
"price": [
{
"@key:scoped": "price-1",
"value": 125,
"unit": {
"currency": {
"@data": "USD"
}
},
"perUnitOf": {
"currency": {
"@data": "USD"
}
},
"priceType": "InterestRate",
"arithmeticOperator": "Add"
}
],
"quantity": {
"@key:scoped": "quantity-2",
"value": 3840000,
"unit": {
"currency": {
"@data": "USD"
}
}
},
"observable": {
"@key:scoped": "observable-2",
"@data": {
"@type": "cdm.observable.asset.InterestRateIndex",
"@key:scoped": "InterestRateIndex-1",
"@data": {
"@type": "cdm.observable.asset.FloatingRateIndex",
"identifier": [
{
"identifier": {
"@data": "USD-LIBOR-BBA"
},
"identifierType": "Other"
}
],
"assetType": "Other",
"assetClass": "InterestRate",
"floatingRateIndex": {
"@data": "USD-LIBOR-BBA"
},
"indexTenor": {
"periodMultiplier": 1,
"period": "M"
}
}
}
}
}
]
}
],
"counterparty": [
{
"role": "Party1",
"partyReference": {
"@ref:external": "PRIMARY"
}
},
{
"role": "Party2",
"partyReference": {
"@ref:external": "CROSS"
}
}
],
"adjustment": "Standard",
"tradeIdentifier": [
{
"issuerReference": {
"@ref:external": "PRIMARY"
},
"assignedIdentifier": [
{
"identifier": {
"@scheme": "http://www.primarybank.com/trade-id",
"@data": "CFD123456789"
}
}
]
},
{
"issuerReference": {
"@ref:external": "CROSS"
},
"assignedIdentifier": [
{
"identifier": {
"@scheme": "http://www.crossbank.com/tradeId",
"@data": "CFD123456789"
}
}
]
}
],
"tradeDate": {
"@key:external": "TradeDate__CFD123456789",
"@data": "2009-09-30"
},
"party": [
{
"@key:external": "PRIMARY",
"partyId": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/dummy-party-id",
"@data": "0987654321"
}
}
]
},
{
"@key:external": "CROSS",
"partyId": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/dummy-party-id",
"@data": "1234567890"
}
}
]
}
],
"contractDetails": {
"documentation": [
{
"legalAgreementIdentification": {
"agreementName": {
"agreementType": "MasterAgreement",
"masterAgreementType": {
"@data": "ISDAMaster"
}
}
},
"contractualParty": [
{
"@ref:external": "PRIMARY"
},
{
"@ref:external": "CROSS"
}
]
}
]
}
}
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