Total Return Swap Single Equity
Swaps CDM 7.2.0A total return swap on a single underlying equity.
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 | TotalReturnSwap | 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
- 2004-10-10
- Effective date
- 2004-10-12
- Termination date
- 2006-10-12
- Currencies
- EUR, 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 — 154 values, rooted at TradeState. Download it, or open it in the viewer to walk the tree.
trs-ex02-single-equity.json Download
{
"@model": "cdm",
"@type": "cdm.event.common.TradeState",
"@version": "0.0.0.master-SNAPSHOT",
"@key": "1803cdcc",
"trade": {
"product": {
"taxonomy": [
{
"source": "Other",
"value": {
"name": {
"@scheme": "http://www.fpml.org/coding-scheme/product-type-simple",
"@data": "TotalReturnSwap"
}
}
},
{
"source": "ISDA",
"value": {
"name": {
"@data": "EquitySwap_TotalReturnBasicPerformance_SingleName"
}
},
"calculated": true
}
],
"economicTerms": {
"effectiveDate": {
"@key:external": "trs-eq1-EffectiveDate",
"adjustableDate": {
"unadjustedDate": "2004-10-12",
"dateAdjustments": {
"businessDayConvention": "NONE"
}
}
},
"terminationDate": {
"@key:external": "trs-eq1-TerminationDate",
"adjustableDate": {
"unadjustedDate": "2006-10-12",
"dateAdjustments": {
"businessDayConvention": "NONE"
}
}
},
"payout": [
{
"@type": "cdm.product.template.PerformancePayout",
"payerReceiver": {
"payer": "Party1",
"receiver": "Party2"
},
"priceQuantity": {
"quantitySchedule": {
"@ref:scoped": "quantity-1"
},
"reset": true
},
"settlementTerms": {
"settlementType": "Cash",
"settlementCurrency": {
"@data": "USD"
}
},
"valuationDates": {
"interimValuationDate": {
"determinationMethod": "ValuationTime",
"valuationDates": {
"@key:external": "trs-eq1-InterimValuationDate",
"adjustableDates": {
"unadjustedDate": [
"2004-10-12",
"2004-11-13",
"2004-12-12",
"2005-01-14",
"2005-02-12",
"2005-03-12",
"2005-04-12",
"2005-05-13",
"2005-06-12",
"2005-07-12",
"2005-08-12"
],
"dateAdjustments": {
"businessDayConvention": "NotApplicable"
}
}
},
"valuationTimeType": "Close"
},
"finalValuationDate": {
"determinationMethod": "HedgeExecution",
"valuationDate": {
"@key:external": "trs-eq1-FinalValuationDate",
"adjustableDate": {
"unadjustedDate": "2005-09-24",
"dateAdjustments": {
"businessDayConvention": "NotApplicable"
}
}
}
}
},
"paymentDates": {
"paymentDateSchedule": {
"interimPaymentDates": [
{
"@key:external": "trs-eq1-InterimEquityPaymentDate",
"adjustableDates": {
"unadjustedDate": [
"2004-10-14",
"2005-10-14",
"2006-10-14"
],
"dateAdjustments": {
"businessDayConvention": "FOLLOWING"
}
}
}
],
"finalPaymentDate": {
"@key:external": "trs-eq1-FinalEquityPaymentDate",
"adjustableDate": {
"unadjustedDate": "2006-10-14",
"dateAdjustments": {
"businessDayConvention": "FOLLOWING"
}
}
}
}
},
"underlier": {
"@type": "cdm.observable.asset.Observable",
"@ref:scoped": "observable-1"
},
"returnTerms": {
"priceReturnTerms": {
"returnType": "Total"
},
"dividendReturnTerms": {
"dividendPayoutRatio": [
{
"totalRatio": 0.85
}
],
"dividendReinvestment": false,
"dividendEntitlement": "ExDate",
"excessDividendAmount": "RecordAmount",
"dividendCurrency": {
"determinationMethod": "DividendCurrency"
},
"dividendPeriod": [
{
"startDate": {
"dividendDate": {
"@ref": "3ea28a",
"@ref:external": "trs-eq1-TradeDate"
}
},
"endDate": {
"dividendDate": {
"@ref:external": "trs-eq1-TerminationDate"
}
},
"dividendPaymentDate": {
"dividendDateReference": {
"dateReference": "EquityPaymentDate"
}
}
}
]
}
}
},
{
"@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": "trs-eq1-InterestLegPeriodDates",
"effectiveDate": {
"adjustableDate": {
"unadjustedDate": "2004-10-12",
"dateAdjustments": {
"businessDayConvention": "NONE"
}
}
},
"terminationDate": {
"adjustableDate": {
"unadjustedDate": "2004-10-12",
"dateAdjustments": {
"businessDayConvention": "NONE"
}
}
}
},
"paymentDates": {
"paymentDateSchedule": {
"interimPaymentDates": [
{
"adjustableDates": {
"unadjustedDate": [
"2004-10-12",
"2005-10-12",
"2006-10-12"
],
"dateAdjustments": {
"businessDayConvention": "FOLLOWING"
}
}
}
]
}
},
"resetDates": {
"calculationPeriodDatesReference": {
"@ref:external": "trs-eq1-InterestLegPeriodDates"
},
"resetRelativeTo": "CalculationPeriodStartDate"
}
}
]
}
},
"tradeLot": [
{
"priceQuantity": [
{
"price": [
{
"@key:scoped": "price-2",
"value": 37.44,
"unit": {
"currency": {
"@data": "USD"
}
},
"perUnitOf": {
"financialUnit": "Share"
},
"priceType": "AssetPrice",
"priceExpression": "AbsoluteTerms",
"derivedQuantity": {
"value": 28469376,
"unit": {
"currency": {
"@data": "USD"
}
}
}
}
],
"quantity": {
"@key:scoped": "quantity-3",
"value": 760400,
"unit": {
"financialUnit": "Share"
}
},
"observable": {
"@key:scoped": "observable-1",
"@data": {
"@type": "cdm.base.staticdata.asset.common.Security",
"identifier": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP",
"@data": "SHPGY.O"
},
"identifierType": "CUSIP"
},
{
"identifier": {
"@data": "Shire Pharmeceuticals Group - American Depositary Receipts"
},
"identifierType": "Name"
}
],
"isExchangeListed": true,
"party": [
{
"partyId": [
{
"identifier": {
"@scheme": "http://www.fpml.org/schemes/4.1/exchangeId",
"@data": "XNAS"
}
}
],
"name": {
"@scheme": "http://www.fpml.org/schemes/4.1/exchangeId",
"@data": "XNAS"
}
}
],
"partyRole": {
"partyReference": {
"partyId": [
{
"identifier": {
"@scheme": "http://www.fpml.org/schemes/4.1/exchangeId",
"@data": "XNAS"
}
}
],
"name": {
"@scheme": "http://www.fpml.org/schemes/4.1/exchangeId",
"@data": "XNAS"
}
},
"role": "Exchange"
},
"assetType": "Security",
"securityType": "Equity"
}
}
},
{
"price": [
{
"@key:scoped": "price-1",
"value": 0.002,
"unit": {
"currency": {
"@data": "EUR"
}
},
"perUnitOf": {
"currency": {
"@data": "EUR"
}
},
"priceType": "InterestRate",
"arithmeticOperator": "Add"
}
],
"quantity": {
"@key:scoped": "quantity-2",
"value": 19785157.16,
"unit": {
"currency": {
"@data": "EUR"
}
}
},
"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": "party1"
}
},
{
"role": "Party2",
"partyReference": {
"@ref:external": "party2"
}
}
],
"adjustment": "Execution",
"tradeIdentifier": [
{
"issuerReference": {
"@ref:external": "party1"
},
"assignedIdentifier": [
{
"identifier": {
"@scheme": "http://www.abc.com/swaps/trade-id",
"@data": "TRS-01"
}
}
]
},
{
"issuerReference": {
"@ref:external": "party2"
},
"assignedIdentifier": [
{
"identifier": {
"@scheme": "http://www.hedgeco.com/swaps/trade-id",
"@data": "total-ret-swap-01"
}
}
]
}
],
"tradeDate": {
"@key:external": "trs-eq1-TradeDate",
"@data": "2004-10-10"
},
"party": [
{
"@key:external": "party1",
"partyId": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/external/iso17442",
"@data": "QGPGHQ1ENZOOLJRFTH41"
},
"identifierType": "LEI"
}
],
"name": {
"@data": "ABCD Securities Inc."
}
},
{
"@key:external": "party2",
"partyId": [
{
"identifier": {
"@scheme": "http://www.fpml.org/coding-scheme/external/iso17442",
"@data": "J6W9XJWVE853A9CVRQ85"
},
"identifierType": "LEI"
}
],
"name": {
"@data": "HedgeCo Capital L.L.C."
}
}
]
}
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