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Total Return Swap Single Equity

Swaps CDM 7.2.0

A total return swap on a single underlying equity.

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
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.

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 — 154 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.

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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