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TRS Index IOS

Swaps CDM 7.2.0

A total return swap on an index.

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 Equity:Swap:PriceReturnBasicPerformance:SingleIndex Asserted
ISDA EquitySwap_PriceReturnBasicPerformance_Index 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
2011-03-23
Effective date
2010-05-12
Termination date
2038-01-12
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.

TypeNamespace
Cash base · staticdata · asset · common
EquityIndex observable · asset
FixedRateSpecification product · asset
InterestRatePayout product · asset
Observable observable · asset
PerformancePayout product · template
TradeState event · common
UnscheduledTransfer event · common

The CDM JSON

The full canonical document — 127 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-ex04-index-ios.json Download 
{
  "@model": "cdm",
  "@type": "cdm.event.common.TradeState",
  "@version": "0.0.0.master-SNAPSHOT",
  "@key": "99a6bbdd",
  "trade": {
    "product": {
      "taxonomy": [
        {
          "source": "Other",
          "value": {
            "name": {
              "@data": "Equity:Swap:PriceReturnBasicPerformance:SingleIndex"
            }
          }
        },
        {
          "source": "ISDA",
          "value": {
            "name": {
              "@data": "EquitySwap_PriceReturnBasicPerformance_Index"
            }
          },
          "calculated": true
        }
      ],
      "economicTerms": {
        "effectiveDate": {
          "adjustableDate": {
            "unadjustedDate": "2010-05-12",
            "dateAdjustments": {
              "businessDayConvention": "NotApplicable"
            }
          }
        },
        "terminationDate": {
          "adjustableDate": {
            "unadjustedDate": "2038-01-12",
            "dateAdjustments": {
              "businessDayConvention": "NotApplicable"
            }
          }
        },
        "payout": [
          {
            "@type": "cdm.product.template.PerformancePayout",
            "payerReceiver": {
              "payer": "Party1",
              "receiver": "Party2"
            },
            "priceQuantity": {
              "quantitySchedule": {
                "@ref:scoped": "quantity-1"
              }
            },
            "settlementTerms": {
              "settlementType": "Cash"
            },
            "valuationDates": {
              "initialValuationDate": {
                "determinationMethod": "ValuationTime",
                "valuationDate": {
                  "@key:external": "initialValuationDate",
                  "adjustableDate": {
                    "unadjustedDate": "2010-05-12",
                    "dateAdjustments": {
                      "businessDayConvention": "NotApplicable"
                    }
                  }
                }
              },
              "interimValuationDate": {
                "determinationMethod": "ValuationTime",
                "valuationDates": {
                  "@key:external": "interimValuationDates",
                  "periodicDates": {
                    "startDate": {
                      "adjustableDate": {
                        "unadjustedDate": "2010-06-12",
                        "dateAdjustments": {
                          "businessDayConvention": "NotApplicable"
                        }
                      }
                    },
                    "endDate": {
                      "adjustableDate": {
                        "unadjustedDate": "2037-12-12",
                        "dateAdjustments": {
                          "businessDayConvention": "NotApplicable"
                        }
                      }
                    },
                    "periodFrequency": {
                      "periodMultiplier": 1,
                      "period": "M",
                      "rollConvention": "12"
                    },
                    "periodDatesAdjustments": {
                      "businessDayConvention": "NotApplicable"
                    }
                  }
                }
              },
              "finalValuationDate": {
                "determinationMethod": "ValuationTime",
                "valuationDate": {
                  "@key:external": "finalValuationDate",
                  "adjustableDate": {
                    "unadjustedDate": "2038-01-12",
                    "dateAdjustments": {
                      "businessDayConvention": "NotApplicable"
                    }
                  }
                }
              }
            },
            "paymentDates": {
              "paymentDateSchedule": {
                "interimPaymentDates": [
                  {
                    "relativeDates": {
                      "periodMultiplier": 3,
                      "period": "D",
                      "dayType": "Business",
                      "businessDayConvention": "NONE",
                      "dateRelativeTo": {
                        "@ref": "dd77575f",
                        "@ref:external": "interimValuationDates"
                      }
                    }
                  }
                ],
                "finalPaymentDate": {
                  "relativeDate": {
                    "periodMultiplier": 3,
                    "period": "D",
                    "dayType": "Business",
                    "businessDayConvention": "NONE",
                    "businessCentersReference": {
                      "@ref:external": "returnBusinessCenter"
                    },
                    "dateRelativeTo": {
                      "@ref": "296055f7",
                      "@ref:external": "finalValuationDate"
                    }
                  }
                }
              }
            },
            "underlier": {
              "@type": "cdm.observable.asset.Observable",
              "@ref:scoped": "observable-1"
            },
            "returnTerms": {
              "priceReturnTerms": {
                "returnType": "Total"
              }
            }
          },
          {
            "@type": "cdm.product.asset.InterestRatePayout",
            "payerReceiver": {
              "payer": "Party2",
              "receiver": "Party1"
            },
            "priceQuantity": {
              "quantityReference": {
                "@ref:external": "returnNotional"
              }
            },
            "rateSpecification": {
              "@type": "cdm.product.asset.FixedRateSpecification",
              "rateSchedule": {
                "price": {
                  "@ref:scoped": "price-1"
                }
              }
            },
            "dayCountFraction": {
              "@data": "30/360"
            },
            "calculationPeriodDates": {
              "@key:external": "interestCalculationDates",
              "effectiveDate": {
                "relativeDate": {
                  "periodMultiplier": 0,
                  "period": "D",
                  "businessDayConvention": "NotApplicable",
                  "dateRelativeTo": {
                    "@ref": "261b36f7",
                    "@ref:external": "initialValuationDate"
                  }
                }
              },
              "terminationDate": {
                "relativeDate": {
                  "periodMultiplier": 0,
                  "period": "D",
                  "businessDayConvention": "NotApplicable",
                  "dateRelativeTo": {
                    "@ref": "296055f7",
                    "@ref:external": "finalValuationDate"
                  }
                }
              }
            },
            "paymentDates": {
              "paymentDateSchedule": {
                "interimPaymentDates": [
                  {
                    "relativeDates": {
                      "periodMultiplier": 0,
                      "period": "D",
                      "businessDayConvention": "NotApplicable",
                      "dateRelativeTo": {
                        "@ref:external": "returnPaymentDates"
                      }
                    }
                  }
                ]
              }
            },
            "resetDates": {
              "calculationPeriodDatesReference": {
                "@ref": "dd77575f",
                "@ref:external": "interimValuationDates"
              },
              "resetRelativeTo": "CalculationPeriodStartDate"
            }
          }
        ]
      }
    },
    "tradeLot": [
      {
        "priceQuantity": [
          {
            "price": [
              {
                "derivedQuantity": {
                  "value": 31000000,
                  "unit": {
                    "currency": {
                      "@data": "USD"
                    }
                  }
                }
              }
            ],
            "observable": {
              "@key:scoped": "observable-1",
              "@data": {
                "@type": "cdm.observable.asset.EquityIndex",
                "identifier": [
                  {
                    "identifier": {
                      "@scheme": "http://www.fpml.org/coding-scheme/external/entity-name-RED",
                      "@data": "IOS.FN30.650.67"
                    },
                    "identifierType": "Other"
                  },
                  {
                    "identifier": {
                      "@scheme": "http://www.fpml.org/coding-scheme/external/instrument-id-RED-pair",
                      "@data": "4A845HAA3"
                    },
                    "identifierType": "REDID"
                  }
                ],
                "assetType": "Other",
                "assetClass": "Equity"
              }
            }
          },
          {
            "price": [
              {
                "@key:scoped": "price-1",
                "value": 0.065,
                "unit": {
                  "currency": {
                    "@data": "USD"
                  }
                },
                "perUnitOf": {
                  "currency": {
                    "@data": "USD"
                  }
                },
                "priceType": "InterestRate"
              }
            ]
          }
        ]
      }
    ],
    "counterparty": [
      {
        "role": "Party1",
        "partyReference": {
          "@ref:external": "party1"
        }
      },
      {
        "role": "Party2",
        "partyReference": {
          "@ref:external": "party2"
        }
      }
    ],
    "adjustment": "Standard",
    "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": {
      "@data": "2011-03-23"
    },
    "party": [
      {
        "@key:external": "party1",
        "partyId": [
          {
            "identifier": {
              "@scheme": "http://www.fpml.org/coding-scheme/external/iso17442",
              "@data": "QGPGHQ1ENZOOLJRFTH41"
            },
            "identifierType": "LEI"
          }
        ],
        "name": {
          "@data": "ABCD Fund"
        }
      },
      {
        "@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."
        }
      }
    ]
  },
  "transferHistory": [
    {
      "transfer": {
        "@type": "cdm.event.common.UnscheduledTransfer",
        "quantity": {
          "value": 26800.62,
          "unit": {
            "currency": {
              "@data": "USD"
            }
          }
        },
        "asset": {
          "@type": "cdm.base.staticdata.asset.common.Cash",
          "identifier": [
            {
              "identifier": {
                "@data": "USD"
              },
              "identifierType": "CurrencyCode"
            }
          ],
          "assetType": "Cash"
        },
        "settlementDate": {
          "dateAdjustments": {
            "businessDayConvention": "NotApplicable"
          }
        },
        "payerReceiver": {
          "payerPartyReference": {
            "@ref:external": "party1"
          },
          "receiverPartyReference": {
            "@ref:external": "party2"
          }
        },
        "transferType": "Upfront"
      }
    }
  ]
}

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Library 7.2-lib.2 · CDM 7.2.0 cdm:trs-ex04-index-ios