Build Number: 7; Document built: 06/02/2020 12:15:22,61
Copyright (c) 1999 - 2019 by International Swaps and Derivatives Association, Inc.
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1 Business Process Examples
1.1 Introduction
1.2 Allocations
1.2.1 Example 20 - Short-Form Allocation of a Credit Default Swap
1.2.2 Example 24 - Allocation Cancelled
1.2.3 Example 25 - Request Allocation
1.2.4 Example 26 - Short-Form Allocation of a Credit Default Swap (multiple allocation trade identifiers)
1.3 Confirmation
1.3.1 Example 5 - Equity Cash Share Request Confirmation
1.3.2 Example 6 - Equity Index Option Request Confirmation
1.3.3 Example 7 - Equity Physical Share Request Confirmation
1.3.4 Example 12 - Credit Default Swap Request Increase Termination
1.3.5 Example 13 - Credit Default Swap Full Termination Confirmation
1.3.6 Example 14 - Credit Default Swap Partial Termination Confirmation
1.3.7 Example 15 - Credit Default Swap Request Amendment Confirmation
1.3.8 Example 17 - Two sided swap with multiple roles and accounts
1.3.9 Example 18 - Credit Default Swap Short Form US Corporate with broker role
1.3.10 Example 26 - Alleged Novation
1.4 Consent
1.4.1 Example 4 - Equity Option Increase
1.4.2 Example 8 - Equity Option Partial Termination
1.4.3 Example 9 - Equity Option Termination
1.4.4 Example 10 - Equity Swap Partial Termination
1.4.5 Example 11 - Equity Swap Full Termination
1.4.6 Example 27 - Request Novation Consent
1.4.7 Example 100 - Request Clearing Consent, with quote
1.4.8 Example 200 - Request Clearing Consent
1.4.9 Example 201 - Grant Clearing Consent
1.4.10 Example 202 - Refuse Clearing Consent
1.4.11 Example 203 - Refuse Clearing Consent (with Credit Limit Information)
1.4.12 Example 300 - Request Clearing Consent on a Porfolio
1.4.13 Example 301 - Request Clearing Consent on a Porfolio
1.4.14 Example 302 - Grant Clearing Consent on a Portfolio
1.4.15 Example 303 - Grant Clearing Consent on Constituent of a Portfolio
1.4.16 Example 400 - Request Consent (with approval information)
1.4.17 Example 401 - Approval Status Notification
1.5 Execution Advice
1.5.1 Example 51 - Execution Advice of CDS Trade Initiation (C01-00)
1.5.2 Example 52 - Execution Advice of CDS Trade Partial Novation (C02-00)
1.5.3 Example 53 - Execution Advice of CDS Trade Partial Novation Correction (C02-10)
1.5.4 Example 54 - Execution Advice of CDS Trade Partial Termination (C11-00)
1.5.5 Example 55 - Execution Advice of CDS Trade Partial Termination Cancellation (C11-10)
1.5.6 Example 56 - Execution Advice of CDS Trade Full Termination (C12-00)
1.5.7 Example 57 - Execution Advice of CDS Trade Full Termination Correction (C12-20)
1.5.8 Example 58 - Execution Advice of CDS Trade Initiation (F01-00).xml
1.5.9 Example 59 - Execution Advice of CDS Trade Amendment (F02-00)
1.5.10 Example 60 - Execution Advice of CDS Trade Amendment Correction (F02-10)
1.5.11 Example 61 - Execution Advice of CDS Trade Change (F03-00)
1.5.12 Example 62 - Execution Advice of CDS Trade Change Correction (F03-10)
1.5.13 Example 63 - Execution Advice of IRD Trade Initiation.xml
1.5.14 Example 64 - Execution Advice of IRD Trade Initiation Correction
1.5.15 Example 65 - Execution Advice of IRD Trade Partial Termination
1.5.16 Example 66 - Execution Advice of IRD Trade Full Termination
1.5.17 Example 67 - Execution Advice of IRD Trade Full Termination Correction
1.5.18 Example 68 - Execution Advice of a Warrant
1.6 Execution Notification
1.6.1 Example 19 - Long-Form Allocation of a Credit Default Swap
1.6.2 Example 22 - Allocation Created
1.6.3 Example 23 - Allocation Amendment
1.6.4 Example 24 - Trade Package
1.6.5 Example 90 - Trade Execution Date Time
1.7 Trade Information Update
1.7.1 Example 01 - Request Trade Information Update
1.8 Option Exercise / Expiry
1.8.1 Example 01 - Option Expiration Notification
1.8.2 Example 02a - Request to exercise options
1.8.3 Example 02b - Request NOT to exercise options
1.8.4 Example 03a - Execution notification that options were exercised (cash)
1.8.5 Example 3a - Execution notification that options were exercised (physical)
1.8.6 Example 3a - Execution notification that options were exercised (physical / security underlyer)
1.8.7 Example 3b - Request confirmation (physical)
1.8.8 Example 04 - Execution advice that options were exercised
1.8.9 Example 05 - Execution exception
1.8.10 Example 06 - Maturity notification (option expired)
1.8.11 Example 07 - Maturity notification (trade matured)
1.8.12 Example A - Request Confirmation of OTC Equity Option
1.8.13 Example B - Option Expiration Notification
1.8.14 Example C - Request Execution of Equity Options
1.8.15 Example D - Execution Notification of Equity Option Exercise
1.8.16 Example M - Confirm Bond Option
1.8.17 Example N - Expiring Bond Option
1.8.18 Example O - Request exercise OTC Bond Option
1.8.19 Example P - Exercise Notification New Trade for OTC bond option
1.8.20 Example X - Exercise Notification of FX option
1.8.21 Example Y - Exercise Notification of a swaption
1.8.22 Example 08 - Option Expiration Notification
1.8.23 Example 130 - Request Execution of an Option (Straddle)
1.8.24 Example 131 - Execution notification that options were exercised (physical)
1.9 Option Events
1.9.1 Example 01 - Option Knock In
1.9.2 Example 02 - Option Knock Out
1.9.3 Example 03 - Option Knock In
1.9.4 Example 04 - Option Knock In
1.10 Clearing
1.10.1 Example 01 - Clearing Status Notification
1.10.2 Example 02 - Request to de-clear
1.10.3 Example 03 - Clearing Confirmed (de-clear)
1.10.4 Example 04 - Clearing Confirmed (de-clear)
1.10.5 Example 05 - Clearing Confirmed (trade terminated due to netting)
1.10.6 Example 06 - Clearing Confirmed (trade created due to netting)
1.10.7 Example 07 - Clearing Requested (from SEF)
1.10.8 Example 08 - Clearing Status (to SEF)
1.10.9 Example 09 - Clearing Status (to broker)
1.10.10 Example 10 - Clearing Confirmed (full clearing report)
1.10.11 Example 11 - Clearing Confirmed (trade created as a result of netting and part of a portfolio)
1.10.12 Example 12 - Clearing Confirmed (trade created as a result of netting and part of a portfolio)
1.10.13 Example 20 - Clearing Requested (with approved allocations)
1.10.14 Example 50 - Request Clearing (Package Transactions)
1.10.15 Example 51 - Clearing Confirmed (to SEF) (Package Transactions)
1.10.16 Example 100 - Request Clearing Eligibility
1.10.17 Example 101 - Clearing Eligibility (Status)
1.11 Package Transactions
1.11.1 Execution and Clearing
1.11.2 Package Transactions Example 1 - Execution Notification
1.11.3 Package Transactions Example 2 - Execution Notification
1.11.4 Package Transactions Example 55 - Execution Notification
1.11.5 Package Transactions Example 60 - Request Clearing
1.11.6 Package Transactions Example 61 - Clearing Confirmed
1.12 Observation Event
1.12.1 Example 01 - Observation Event Commodity Product
1.12.2 Example 02 - Observation Event Interest Rate Product
1.12.3 Example 03 - Observation Event Interest Rate Product
1.12.4 Example 04 - Observation Event Interest Rate Product
1.13 Reset Event
1.13.1 Example 01 - Reset Event
1.13.2 Example 02 - Reset Event with observations
2 Interest Rate Derivative Examples
2.1 Introduction
2.2 Example 1 - Fixed/Floating Single Currency Interest Rate Swap
2.3 Example 1a - Fixed/Floating Single Currency Interest Rate Swap
2.4 Example 2 - Fixed/Floating Single Currency Interest Rate Swap with Initial Stub Period and Notional Amortization
2.5 Example 3 - Fixed/Floating Single Currency Interest Rate Swap with Compounding, Payment Delay and Final Rate Rounding
2.6 Example 4 - Fixed/Floating Single Currency Interest Rate Swap with Arrears Reset, Step-Up Coupon and Upfront Fee
2.7 Example 4a - Fixed/Floating Single Currency Interest Rate Swap with Arrears Reset, Step-Up Coupon and Upfront Fee
2.8 Example 5 - Fixed/Floating Single Currency Interest Rate Swap with Long Initial Stub and Short Final Stub
2.9 Example 5a - Fixed/Floating Single Currency Interest Rate Swap with Long Initial Stub and Short Final Stub
2.10 Example 6 - Fixed/Floating Cross Currency Interest Rate Swap
2.11 Example 6a - Fixed/Floating Cross Currency Interest Rate Swap
2.12 Example 7 - Fixed/Floating Overnight Interest Rate Swap (OIS)
2.13 Example 7a - Fixed/Floating Overnight Interest Rate Swap (OIS)
2.14 Example 8 - Forward Rate Agreement
2.15 Example 8a - Forward Rate Agreement
2.16 Example 9 - European Swaption, Physical Settlement, Explicit Underlying Effective Date
2.17 Example 9a - European Swaption, Physical Settlement, Explicit Underlying Effective Date
2.18 Example 10 - European Swaption, Physical Settlement, Relative Underlying Effective Date
2.19 Example 11 - European Swaption, Physical Settlement, Partial Exercise, Automatic Exercise
2.20 Example 12 - European Swaption, Cash Settlement, Swaption Straddle
2.21 Example 13 - European Swaption, Cash Settled, cashflows included
2.22 Example 14 - Bermuda Swaption, Physical Settlement.
2.23 Example 15 - American Swaption, Physical Settlement.
2.24 Example 16 - Fixed/Floating Single Currency IRS With Mandatory Early Termination.
2.25 Example 17 - Fixed/Floating Single Currency IRS With European Style Optional Early Termination.
2.26 Example 18 - Fixed/Floating Single Currency IRS With Bermuda Style Optional Early Termination, Cashflows + optionalEarlyTerminationAdjustedDates.
2.27 Example 19 - Fixed/Floating Single Currency IRS With American Style Optional Early Termination.
2.28 Example 20 - Fixed/Floating Single Currency IRS With European Cancelable Provision.
2.29 Example 21 - Fixed/Floating Single Currency IRS With European Extendible Provision.
2.30 Example 22 - Interest Rate Cap
2.31 Example 23 - Interest Rate Floor
2.32 Example 24 - Interest Rate Collar
2.33 Example 25 - Fixed/Floating IRS Where The Floating Stream Notional Is Reset Based On Prevailing Spot Exchange Rate
2.34 Example 26 - Fixed/Floating IRS Where The Floating Stream Notional Is Reset Based On Prevailing Spot Exchange Rate - Cashflows.
2.35 Example 27 - Inverse Floater
2.36 Example 28 - Bullet Payments
2.37 Example 29 - Swap with Non-Deliverable Settlement Provision
2.38 Example 30 - Compounding and Averaging Swap with Relative Dates
2.39 Example 31 - Swap with Non-Deliverable Settlement Provision
2.40 Example 32 - Zero Coupon Swap
2.41 Example 33 - Brazilian Interest Rate Swap
2.42 Example 34 - Mexican Interest Rate Swap
2.43 Example 35 - Inverse Floater vs. Floating
2.44 Example 36 - American Swaption (predetermined clearing)
3 Inflation Swaps Examples
3.1 Introduction
3.2 Example 1 - Inflation Swap - Year on Year
3.3 Example 2 - Inflation Swap - Year on Year with Bond Reference
3.4 Example 3 - Inflation Swap - Year on Year Initial Level
3.5 Example 4 - Inflation Swap - Year on Year with Interpolation
3.6 Example 5 - Inflation Swap - Zero Coupon
3.7 Example 1 - Inflation Asset Swap - Ratio Zero Coupon Floored
3.8 Example 2 - Inflation Asset Swap - Ratio Zero Coupon Floored
4 Credit Derivative Examples
4.1 Credit Default Swap
4.1.1 Example 1 - Asian Corporate, Long Form, Fixed Regular Payment Schedule
4.1.2 Example 2 - Asian Corporate, Short Form, Fixed Regular Payment Schedule
4.1.3 Example 3 - Australian Corporate, Long Form, Fixed Regular Payment Schedule
4.1.4 Example 4 - Australian Corporate, Short Form, Fixed Regular Payment Schedule
4.1.5 Example 5 - Emerging Markets Asian Corporate, Long Form, Fixed Regular Payment Schedule
4.1.6 Example 6 - Emerging Markets European Sovereign, Long Form, Fixed Regular Payment Schedule
4.1.7 Example 7 - European Corporate, Long Form, Fixed Regular Payment Schedule
4.1.8 Example 8 - European Corporate, Short Form, Fixed Regular Payment Schedule
4.1.9 Example 9 - European Sovereign, Long Form, Fixed Regular Payment Schedule
4.1.10 Example 10 - US Corporate, Long Form, Fixed Regular Payment Schedule
4.1.11 Example 11 - US Corporate, Short Form, Fixed Regular Payment Schedule
4.1.12 Example 12 - Emerging Markets Asian Sovereign, Long Form, Fixed Regular Payment Schedule
4.1.13 Example 13 - Asia Sovereign, Long Form, Fixed Regular Payment Schedule
4.1.14 Example 14 - Emerging Markets Latin American Corporate, Long Form, Fixed Regular Payment Schedule
4.1.15 Example 15 - Emerging Markets Latin American Sovereign, Long Form, Fixed Regular Payment Schedule
4.1.16 Example 16 - US Corporate, Short Form, Fixed Regular Payment Schedule, Recovery Factor
4.1.17 Example 17 - US Corporate, Short Form, Fixed Regular Payment Schedule, Portfolio Compression
4.1.18 Example 18 - Standard North American Corporate
4.1.19 Example 19 - Predetermined Clearing (CDX Index Option)
4.2 Credit Default Swap Index
4.2.1 Example 1 - CDX Example
4.2.2 Example 2 - iTraxx Example
4.2.3 Example 3 - iTraxx Contractual Supplement Example
4.2.4 Example 4 - CDX iBoxx (Total Return Swap)
4.2.5 Example 5 - CDS Index Tranche
4.3 Credit Default Swap Basket
4.3.1 Example 1 - CDS Basket
4.3.2 Example 2 - CDS Custom Basket
4.3.3 Example 3 - CDS Basket Tranche
4.4 Mortgage Derivatives
4.4.1 Example 1 - CDS on CMBS
4.4.2 Example 2 - CDS on RMBS
4.5 Loan Derivatives
4.5.1 Example 1 - CDS Loan Secured List
4.5.2 Example 2 - CDS Loan Reference Obligation
4.5.3 Example 3 - European CDS on Leveraged Loans Reference Obligation
4.6 Credit Default Swap Option
4.6.1 Example 1 - CDS Option
4.6.2 Example 2 - CDS Option
4.6.3 Example 3 - CDX Index Option
4.6.4 Example 4 - iTraxx Index Option
4.7 Independent Amount
4.7.1 Example 1 - Independent Amount
5 Foreign Exchange Examples
5.1 Introduction
5.2 Example 1 - FX Spot
5.3 Example 2 - FX Spot 'Cross' (non-base currency) with Cross Rates
5.4 Example 3 - FX Forward
5.5 Example 4 - FX Forward with specific Settlement Instructions
5.6 Example 5 - FX Forward identified as using standard settlement instructions
5.7 Example 6 - FX Forward with split settlement
5.8 Example 7 - Non-deliverable FX Forward
5.9 Example 8 - FX Swap
5.10 Example 9 - FX OTC Option - European exercise
5.11 Example 10 - FX OTC Option - American exercise
5.12 Example 11 - Non-deliverable FX OTC Option
5.13 Example 12 - FX OTC Barrier Option
5.14 Example 13 - FX OTC Double Barrier Option
5.15 Example 14 - FX OTC Digital/Binary Option -- Euro Binary
5.16 Example 15 - FX OTC Digital/Binary Option -- Euro Range Digital
5.17 Example 16 - FX OTC Digital/Binary Option -- One-Touch
5.18 Example 17 - FX OTC Digital/Binary Option -- No-Touch
5.19 Example 18 - FX OTC Digital/Binary Option -- Double One-Touch
5.20 Example 19 - FX OTC Digital/Binary Option -- Double No-Touch
5.21 Example 20 - FX OTC Average Rate Option with Parametric Schedule
5.22 Example 21 - FX OTC Average Rate Option with Parametric Schedule with Rate Observation
5.23 Example 22 - FX OTC Average Rate Option with Specific Date Schedule
5.24 Example 23 - Straddle (sample usage of Strategy)
5.25 Example 24 - Delta Hedge (sample usage of Strategy)
5.26 Example 25 - FX Option Strategy Component Identifier
5.27 Example 26 - FX Swap with Multiple USI(s)
5.28 Example 27 - FX Flexible Term Forward
5.29 Example 28 - Non-deliverable FX Forward with disruption events
5.30 Example 29 - FX Swap with Multiple Identifiers
5.31 Example 30 - FX Variance Swap
5.32 Example 31 - FX Volatility Swap
5.33 Example 32 - FX Forward Volatility Agreement
5.34 Example 33 - FX Target
5.35 Example 34 - FX Target Digital
5.36 Example 35 - FX Target Pivot
5.37 Example 35 - FX Target Pivot with Settlement Period Schedule
5.38 Example 36 - FX Target Leverage
5.39 Example 37 - FX Target Knockout
5.40 Example 38 - FX Target Rebate
5.41 Example 39 - FX Target Split
5.42 Example 40 - FX Target Accelerated
5.43 Example 41 - FX Target Bonus Collar
5.44 Example 41 - FX Target Bonus Collar with Settlement Period Schedule
5.45 Example 42 - FX Target EKI
5.46 Example 43 - FX Target EKI
5.47 Example 43 - FX FX Target EKI with Settlement Period Schedule
5.48 Example 43 - FX FX Target EKI with Settlement Period Schedule and References
5.49 Example 44 - FX Accrual Forward
5.50 Example 45 - FX Accrual Forward Leverage
5.51 Example 46 - FX Accrual Forward American Lose Boost
5.52 Example 47 - FX Accrual Forward European Fading Forward
5.53 Example 48 - FX Accrual Option Strategy Fading Extra
5.54 Example 49 - FX Accrual Forward Boost Strip
5.55 Example 49 - FX Accrual Forward Boost Strip with Settlement Period Schedule
5.56 Example 50 - FX Accrual Forward Double Accrual
5.57 Example 51 - FX Accrual Forward American Keep Double Multi Settlement
5.58 Example 51 - FX Accrual Forward American Keep Double Multi Settlement with Settlement Period Schedule
5.59 Example 52 - FX Accrual Forward Collar
5.60 Example 53 - FX Accrual Forward Variable Strike
5.61 Example 54 - FX Accrual Option American
5.62 Example 55 - FX Accrual Option Average Strike
5.63 Example 56 - FX Accrual Option Average Rate
5.64 Example 57 - FX Accrual Digital Option American
5.65 Example 58 - FX Accrual Range Accrual European
5.66 Example 60 - FX Accrual Range Accrual European
5.67 Term Deposit Example 1 - Simple Term Deposit
5.68 Term Deposit Example 2 - Term Deposit with Settlement Instructions
5.69 Term Deposit Example 2 - Term Deposit with Dual Currency feature
6 Equity Options Examples
6.1 Introduction
6.2 Example 1 - American Call Stock Long Form
6.3 Example 2 - Calendar Spread Short Form
6.4 Example 3 - Call or Put Spread Short Form
6.5 Example 4 - European Call Index Long Form
6.6 Example 5 - Asian Option Long Form
6.7 Example 6 - Averaging In Long Form
6.8 Example 7 - Barrier Knockout with Rebate Long Form
6.9 Example 8 - Basket Long Form
6.10 Example 9 - Bermuda Long Form
6.11 Example 10 - Binary Barrier Long Form
6.12 Example 11 - Quanto Long Form
6.13 Example 12 - Vanilla Short Form
6.14 Example 13 - 1996 American Call Stock
6.15 Example 14 - American Call Stock Passthrough Long Form
6.16 Example 15 - Basket Passthrough Long Form
6.17 Example 16 - Equity Option Transaction Supplement
6.18 Example 17 - Equity Option Transaction Supplement Non-Deliverable Share
6.19 Example 18 - Equity Option Transaction Supplement Non-Deliverable Index
6.20 Example 19 - Dividend Adjustment
6.21 Example 20 - Nested Basket
6.22 Example 21 - Nested Basket
6.23 Example 22 - Equity Option Transaction Supplement (Index Option) Asian Dates
6.24 Example 23 - Equity Option Transaction Supplement (Index Option) Cliquet
6.25 Example 24 -Equity Option Transaction Supplement (Index Option) Asian Schedule
6.26 Example 25 -Equity Option Transaction Supplement (Index Option) Knock-In-Knock-Out Features
6.27 Example 26 -Equity Option Mixed Asset Basket
6.28 Example 27 - Equity Option Transaction Supplement EMEA EM (Interdealer)
7 Bond and Convertible Bond Option Examples
7.1 Introduction
7.2 Example 1 - Bond Option
7.3 Example 2 - Convertible Bond Option
7.4 Example 3 - Convertible Bond Option
8 Equity Swaps Examples
8.1 Introduction
8.2 Example 1 - Single Underlyer Execution Swap Long Form
8.3 Example 2 - Composite Basket Swap Long Form
8.4 Example 3 - Index Swap With a Quanto Feature Long Form
8.5 Example 4 - Zero-strike Equity Swap
8.6 Example 5 - Single Underlyer Swap with an Upfront Fee as well as a Brokerage Fee Long Form
8.7 Example 6 - Single Index Long Form
8.8 Example 7 - Single Underlyer Swap with both an Initial and a Final Stub
8.9 Example 8 - Composite basket long form with separate spreads
8.10 Example 9 - Compounding Swap
8.11 Example 10 - Short form Interest Leg driving schedule dates
8.12 Example 11 - Equity Accrual Swap on European Index Underlyer Short Form
8.13 Example 12 - Equity Accrual Swap on European Index Underlyer Short Form
8.14 Example 13 - Pan-Asia Interdealer Share Swap Short Form
8.15 Example 14 - European Interdealer Share Swap Short Form
8.16 Example 15 and 16 - Forward Starting European Interdealer Share Swap Short Form
8.17 Example 17 - Contract For Difference (CFD)
8.18 Example 18 - Pan Asia Interdealer Index Swap Short Form
8.19 Example 19 - European Interdealer Fair Value Share Swap Short Form
8.20 Example 1 - Total Return Swaps on Equity Basket
8.21 Example 2 - Total Return Swaps on Single Equity
8.22 Example 3 - Total Return Swaps on Single Stock Execution Swap with Fixing Dates and Dividend Payment Date
8.23 Example 4 - Total Return Swaps on Markit IOS Index
9 Equity Forwards Examples
9.1 Introduction
9.2 Example 1 - Equity Forward Stock Long Form
10 Volatility Derivatives Examples
10.1 Introduction
10.2 Example 1 - Variance Swap Index
10.3 Example 2 - Variance Swap Single Stock
10.4 Example 3 - Conditional Variance Swap
10.5 Example 4 - Dispersion Variance Swap Long Form
10.6 Example 5 - Dispersion Variance Swap Transaction Supplemen
10.7 Example 6 - Variance Option Transaction Supplemen
10.8 Example 7 - Variance Option Transaction Supplement (illustrating predetermined clearing)
10.9 Example 1 - Volatility Swap Index Matrix
10.10 Example 2 - Volatility Swap Index MCA
11 Correlation Derivatives Examples
11.1 Introduction
11.2 Example 1 - Correlation Swap
11.3 Example 2 - Correlation Swap Confirmation
11.4 Example 3 - Correlation Swap Confirmation
11.5 Example 4 - Correlation Swap Confirmation
12 Dividend Derivatives Examples
12.1 Introduction
12.2 Example 1 - Dividend Swap
12.3 Example 2 - Dividend Swap Collateral
12.4 Example 3 - Short Form Dividend Swap for Japanese Underlyer
12.5 Example 6 - Dividend Swap (illustrating predetermined clearing)
13 Securities Examples
13.1 Introduction
13.2 Example 1 - Future
13.3 Example 2 - Exchange Traded Option
14 Loan Examples
14.1 Introduction
14.2 Loan Servicing Notifications
14.2.1 Facility-Level Notifications
14.2.1.1 Accruing Fee Change
14.2.1.1.1 Scenario 1 (Loan_AccrFeeChng_ex1)
14.2.1.1.2 Scenario 2 (Loan_AccrFeeChng_ex2)
14.2.1.1.3 Scenario 3 (Loan_AccrFeeChng_ex3)
14.2.1.2 Accruing Fee Expiry
14.2.1.2.1 Scenario 1 (Loan_AccrFeeExp_ex1)
14.2.1.3 Accrual Option Change
14.2.1.3.1 Scenario 1 (Loan_AccrOptChng_ex1)
14.2.1.4 Accruing Fee Payment
14.2.1.4.1 Scenario 1 (Loan_AccrFeePay_ex1)
14.2.1.4.2 Scenario 2 (Loan_AccrFeePay_ex2)
14.2.1.5 Miscellaneous Fee Payments
14.2.1.5.1 Scenario 1 (Loan_NonRecFeePay_ex1)
14.2.1.5.2 Scenario 2 (Loan_AccrPikPay_ex1)
14.2.1.5.3 Scenario 3 (Loan_AmendFeePay_ex1)
14.2.1.5.4 Scenario 4 (Loan_FundFeePay_ex1)
14.2.1.5.5 Scenario 5 (Loan_FacExtFeePay_ex1)
14.2.1.5.6 Scenario 6 (Loan_MiscFeePay_ex1)
14.2.1.5.7 Scenario 7 (Loan_UpfrontFeePay_ex1)
14.2.1.5.8 Scenario 8 (Loan_WaiverFeePay_ex1)
14.2.1.6 Commitment Adjustment
14.2.1.6.1 Scenario 1 (Loan_CommitAdj_ex1)
14.2.1.7 Facility Termination
14.2.1.7.1 Scenario 1 (Loan_FacTerm_ex1)
14.2.1.8 Facility Prepayment/Facility Prepayment Fee Payment
14.2.1.8.1 Scenario 1 (Loan_FacPrepay_ex1)
14.2.1.8.2 Scenario 2 (Loan_FacPrepayFee_ex1)
14.2.1.9 Rate Changes
14.2.1.9.1 Scenario 1 (Loan_DefRtChg_ex1)
14.2.1.9.2 Scenario 2 (Loan_MndCstRtChg_ex1)
14.2.1.9.3 Scenario 3 (Loan_PenRtChg_ex1)
14.2.1.10 Rate Expirations
14.2.1.10.1 Scenario 1 (Loan_DefRtExp_ex1)
14.2.1.10.2 Scenario 2 (Loan_MndCstRtExp_ex1)
14.2.1.10.3 Scenario 3 (Loan_PenRtExp_ex1)
14.2.2 Loan Contract Notification
14.2.2.1 Breakage Fee Payment
14.2.2.1.1 Scenario 1 (Loan_BrkgFeePymt_ex1)
14.2.2.2 Interest Capitalization
14.2.2.2.1 Scenario 1 (Loan_IntCap_ex1)
14.2.2.3 Interest Payment
14.2.2.3.1 Scenario 1 (Loan_IntPay_ex1)
14.2.2.4 Loan Contract Adjustment
14.2.2.4.1 Scenario 1 (Loan_ContAdj_ex1)
14.2.2.5 Maturity Change
14.2.2.5.1 Scenario 1 (Loan_MatChg_ex1)
14.2.3 Letter of Credit Notifications
14.2.3.1 Letter of Credit Adjustment
14.2.3.1.1 Scenario 1 (Loan_LCAdj_ex1)
14.2.3.2 Letter of Credit Fee Payment
14.2.3.2.1 Scenario 2 (Loan_LCFeePay_ex1_1)
14.2.3.2.2 Scenario 3 (Loan_LCFeePay_ex2)
14.2.3.3 Letter of Credit Issuance
14.2.3.3.1 Scenario 4 (Loan_LCIss_ex1)
14.2.3.3.2 Scenario 5 (Loan_LCIss_ex2)
14.2.3.3.3 Scenario 6 (Loan_LCIss_ex3)
14.2.3.3.4 Scenario 7 (Loan_LCIss_ex4)
14.2.3.4 Letter of Credit Fx Revaluation
14.2.3.4.1 Scenario 1 (Loan_LCFx_Reval_ex1)
14.2.3.5 Letter of Credit Rate Change
14.2.3.5.1 Scenario 1 (Loan_LCRtChg_ex1)
14.2.3.6 Letter of Credit Renewal
14.2.3.6.1 Scenario 1 (LC_Renwl_ex1)
14.2.3.7 Letter of Credit Termination
14.2.3.7.1 Scenario 1 (Loan_LCTerm_ex1)
14.2.4 Bulking Servicing Events
14.2.4.1 Scenario 1 (Loan_Bulk_ex100)
14.2.4.2 Rollover
14.2.4.2.1 Scenario 2 (Loan_Bulk_ex101(Roll))
14.2.4.2.2 Scenario 3 (Loan_Bulk_ex102(Roll))
14.2.4.2.3 Scenario 4 (Loan_Bulk_ex103(Roll))
14.2.4.2.4 Scenario 5 (Loan_Bulk_ex104(Roll))
14.2.4.2.5 Scenario 6 (Loan_Bulk_ex105(Roll))
14.2.4.2.6 Scenario 7 (Loan_Bulk_ex106(Roll))
14.2.4.2.7 Scenario 8 (Loan_Bulk_ex107(Roll))
14.2.4.2.8 Scenario 9 (Loan_Bulk_ex108(Roll))
14.2.4.2.9 Scenario 10 (Loan_Bulk_ex109(Roll))
14.2.4.2.10 Scenario 11 (Loan_Bulk_ex110(Roll))
14.2.4.2.11 Scenario 12 (Loan_Bulk_ex111(Roll))
14.2.4.2.12 Scenario 13 (Loan_Bulk_ex112(Roll))
14.2.4.2.13 Scenario 14 (Loan_Bulk_ex113(Roll))
14.3 Loan Trading Notifications
14.3.1 Scenario 1 - Details
14.3.1.1 Trade Initiation (loan_trade_ex001)
14.3.1.2 Message Management Communication
14.3.1.2.1 Trade Acknowledgement (loan_trade_ex002)
14.3.1.2.2 Trade Exception (loan_trade_ex003)
14.3.1.2.3 Trade Retraction (loan_trade_ex004)
14.3.1.3 Trade Confirmation (loan_trade_ex005)
14.3.1.4 Trade Initiation - Agent (loan_trade_ex006)
14.3.1.5 Trade Task (loan_trade_ex007)
14.3.1.6 Trade Allocation (loan_trade_ex008)
14.3.1.7 Trade Allocation Confirmation (loan_trade_ex009)
14.3.1.8 Trade Allocation Task (loan_trade_ex010)
14.3.1.9 Trade Fee Owed (loan_trade_ex011)
14.3.1.10 Trade Allocation Fee Owed (loan_trade_ex012)
14.3.1.11 Trade Allocation Settlement Date Availability (loan_trade_ex013)
14.3.1.12 Trade Allocation Settlement Date Finalization (loan_trade_ex014)
14.3.1.13 Trade Settlement Fee Due (loan_trade_ex015)
14.3.1.14 Trade Allocation Settlement Fee Due (loan_trade_ex016)
14.3.1.15 Trade Allocation Settlement (loan_trade_ex017)
14.3.1.16 Trade Allocation Settlement Between Counterparties (loan_trade_ex018)
14.3.2 Scenario 2 - Details
14.3.3 Scenario 3 Examples
14.4 Loan Asset Statements
14.4.1 Deal Statement
14.4.1.1 Scenario 1 (Loan_DealStmt_ex1)
14.4.1.2 Deal Statement - Example 1
14.4.2 Facility Statement
14.4.2.1 Scenario 1 (Loan_FacStmt_ex1)
14.4.2.2 Facility Statement - Example 1
14.4.2.3 Scenario 2 (Loan_FacStmt_ex2)
14.4.2.4 Facility Statement - Example 2
14.4.3 Facility Position Statement
14.4.3.1 Scenario 1 (Loan_FacPosStmt_ex1)
14.4.3.2 Facility Position Statement - Example 1
14.4.4 Loan Outstanding Contracts Statement
14.4.4.1 Scenario 1 (Loan_OutstdContractsStmt_ex1)
14.4.4.2 Outstanding Contracts Statement - Example 1
14.4.4.3 Scenario 2 (Loan_OutstdContractsStmt_ex2)
14.4.4.4 Outstanding Contracts Statement - Example 2
14.5 Loan Party Profile Statements
14.5.1 Loan Party Profile Statement
14.5.1.1 Scenario 1 (loan_party_ex100)
14.5.1.2 Loan Party Profile Statement - Example 1
15 Commodity Derivative Examples
15.1 Introduction
15.2 Example 1 - Gas Swap (North America) Daily Delivery - Prices Last Day
15.3 Example 2 - Gas Swap (North America) Prices First Day
15.4 Example 3 - Gas Swap (North America) Prices Last Three Days
15.5 Example 4 - Electricity Swap (North America) Hourly Off Peak
15.6 Example 5 - Gas v Electricity Spark Spread
15.7 Example 6 - Gas Call Option
15.8 Example 7 - Gas Put Option
15.9 Example 8 - Oil Call Option Strip
15.10 Example 9 - Oil Put Option American
15.11 Example 10 - Physical Oil Pipeline Crude WTI Floating Price (ISDA or LEAP)
15.12 Example 11 - Physical Oil Pipeline Heating Oil Fixed Price (ISDA or LEAP)
15.13 Example 12 - Physical Gas Europe ZBT Fixed Price (ISDA)
15.14 Example 13 - Physical Gas US TW West Texas Pool Floating Price 4 Days (ISDA)
15.15 Example 14 - Physical Gas Europe TTF Fixed Price (EFET)
15.16 Example 15 - Physical Oil Pipeline Crude WCS Fixed Price
15.17 Example 16 - Physical Power US EEI Floating Price
15.18 Example 17 - Physical Power UK GTMA Fixed Price
15.19 Example 18 - Physical Power US EEI Fixed Price Shaped Volume
15.20 Example 19 - Physical Bullion Forward
15.21 Example 20 - Physical Coal US Fixed Pprice
15.22 Example 21 - Physical Power US EEI Fixed Price Shaped Volume and Price
15.23 Example 22 - Physical Gas Option Multiple Expiration
15.24 Example 23 - Physical Power Option Daily Expiration - EFET
15.25 Example 24 - Physical CDD Weather Index Swap
15.26 Example 25 - Physical Bullion Average Price Forward
15.27 Example 26 - Physical Metal Forward
15.28 Example 27 - WTI Put Option Asian Listedoption Date
15.29 Example 28 - Gas Swap Daily Delivery Prices Option last
15.30 Example 29 - Physical EU Emissions Option
15.31 Example 30 - Physical EU Emissions Forward
15.32 Example 31 - Physical US Emissions Option
15.33 Example 32 - CPD Weather Option
15.34 Example 33 - Physical Bullion Average Price Forward
15.35 Example 34 - Gas Put European Floating Strike Option
15.36 Example 35 - Gas Power Heat Rate Daily Call Option
15.37 Example 36 - Gas Call Option European with Spread, Negative Premium and Floating Strike Price
15.38 Example 37 - Gold Forward Offered Rate
15.39 Example 39 - Basket Option Confirmation
15.40 Example 40 - Gas Digital Option Storage Volume Trigger
15.41 Example 41 - Oil Asian Barrier Option Strip
15.42 Example 42 - Index Return Swap Reinvestment Feature
15.43 Example 43 - WTI Variance Swap
15.44 Example 44 - Index Return Swap Fixed Notional
15.45 Example 45 - AG Variance Swap
15.46 Example 46 - Simple Financial Put Option
15.47 Example 47 - Physical EU emissions (predetermined clearing)
16 Repo and Security Lending Examples
16.1 Introduction
16.2 Example 1 - Fixed Rate Repo
16.3 Example 2 - Open Ended Fixed Rate Repo
16.4 Example 3 - Fixed Rate Repo
16.5 Example 4 - Floating Rate Repo
16.6 Example 5 - Fixed Rate Repo
16.7 Example 6 - Fixed Rate Repo
16.8 Example 7 - Tri-Party Floating Rate Repo
16.9 Example 8 - Tri-Party Fixed Rate Repo
16.10 Example 1 - Security Lending vs. Cash collateral
16.11 Example 2 - Security Lending Non-Cash Collateral XCCY Trade
This section contains example FpML documents for several message types related to different business processes. Each demonstrates how different message exchanges are modeled in FpML.
NOTE: The following examples have validation issue due to missing fxSingleLeg model which is in process of being redesigned and be added in the next version - 57, 63, 65-67, 69, 70, 73, 75-89.
File: msg-ex20-cds-request-allocation.xml
This example shows a "short-form" representation of allocations for a Credit Default Swap. This means that only the block trade has a full FpML representation. The allocated trades are described with parameters (percentage of notional, amount) contained in the allocations element
File: msg-ex24-cds-request-allocation-retracted.xml
This example shows the allocation created in example 20 being cancelled. The message thread between two parties.
File: msg-ex25-cds-request-allocation.xml
This examples shows the usage of the RequestAllocation message and a thread between two parties.
File: msg-ex26-cds-request-allocation-(multiple-allocationTradeIds).xml
This example shows a "short-form" representation of allocations for a Credit Default Swap using multiple allocation trade identifiers.
File: msg-ex14-cd-request-partial-termination-confirmation.xml
File: msg-ex17-two-sided-swap-roles-accounts.xml
This example shows a RequestTradeConfirmation message of a two sided swap trade with multiple roles and accounts.
File: msg-ex18-cds-2003-short-us-corp-broker-role.xml
This example shows how to model a TradeConfirmed message of a trade with broker parties using the tradeSide structure instead of using the brokerPartyReference element.
File: msg-ex26-cds-alleged-novation.xml
This example shows the usage of the NovationAlleged message and a thread between two parties. The previous trade is a reference Credit Default Swap and the payment is a closeout between the outgoing and incoming parties.
File: msg-ex27-request-consent-novation.xml
This example shows the usage of the NovationConsentRequest message and a thread between the two parties in example 26. The entire CDS transaction being novated is exposed while the payment between the incoming and outgoing parties is removed.
File: msg-ex100-request-consent-clearing-with-quote.xml
This show a request from a clearing service to a member firm to consent to a trade's being cleared, with quotes showing the trade's NPV and PV01.
File: msg-ex200-request-consent-clearing.xml
This show a request from a clearing service to a member firm to consent to a trade's being cleared.
File: msg-ex200-grant-consent.xml
This show a message from a clearing member firm to a clearing service to consent to a trade's being cleared.
File: msg-ex202-consent-refused.xml
This show a message from a clearing member firm to a clearing service to not consent to a trade's being cleared.
File: msg-ex203-consent-refused-with-credit-limit-information.xml
This show a message from a clearing member firm to a clearing service to not consent to a trade's being cleared. This message includes Credit Limit Information which was introduced in version 5.7.
File: msg-ex300-request-consent-clearing-portfolio-msg1.xml
This show a request from a clearing service to a member firm to consent to a portfolio being cleared.
File: msg-ex301-request-consent-clearing-portfolio-msg2.xml
This show a request from a clearing service to a member firm to consent to a portfolio being cleared.
File: msg-ex302-grant-consent-to-portfolio.xml
This show a message from a clearing member firm to a clearing service to consent to a portfolio being cleared.
File: msg-ex303-grant-consent-to-constituent-of-portfolio.xml
This show a message from a clearing member firm to a clearing service to consent to one trade of a portfolio being cleared.
File: msg-ex400-request-approval-fra.xml
This show a request consent with reference to the approving party.
File: msg-ex401-approval-status-notification.xml
This show a notification message showing approval status informmation.
Examples to show the notification of execution advice and post-trade events between asset managers and custodians.
Sequence and description of below (Examples 51-62) execution advice notifications from Investment Manager to Custodian: Message Sequence Examples
File: msg-ex52-execution-advice-trade-partial-novation-C02-00.xml
File: msg-ex53-execution-advice-trade-partial-novation-correction-C02-10.xml
File: msg-ex54-execution-advice-trade-partial-termination-C11-00.xml
File: msg-ex55-execution-advice-trade-partial-termination-cancellation-C11-10.xml
File: msg-ex56-execution-advice-trade-full-termination-C12-00.xml
File: msg-ex57-execution-advice-trade-full-termination_correction-C12-20.xml
File: msg-ex60-execution-advice-trade-amendment-correction-F02-10.xml
File: msg-ex62-execution-advice-trade-change-correction-F03-10.xml
File: msg-ex63-execution-advice-trade-initiation.xml
Execution Advice Notification from Investment Manager to Custodian of an IRS Trade Initiation.
File: msg-ex64-execution-advice-trade-initiation-correction.xml
Execution Advice Notification Notification from Investment Manager to Custodian about Correction of a IRD Trade Initiation Notification (in Example 63). A payment amount of 10% is added.
File: msg-ex65-execution-advice-trade-partial-termination.xml
Execution Advice Notification from Investment Manager to Custodian of the Partial Termination of an IRD Trade (in Example 63 and 64). A payment amount of 10% is added.
File: msg-ex66-execution-advice-trade-full-termination.xml
Execution Advice Notification from Investment Manager to Custodian of the Full Termination of an IRS Trade (in Example 63, 64 and 65).
File: msg-ex67-execution-advice-trade-full-termination-correction.xml
Execution Advice Notification from Investment Manager to Custodian about Correction of a Full Termination Notification (in Example 63, 64, 65 and 66). A payment amount of 10% is added.
File: msg-ex68-execution-advice-warrant.xml
Execution Advice Notification from Investment Manager to Custodian for a Warrant underlyer.
File: msg-ex19-cds-execution-allocations.xml
This example shows a "long-form" representation of allocations for a Credit Default Swap. This means that the block and the allocated trades have a full FpML representation.
File: msg-ex22-cds-execution-allocations.xml
This example shows an allocation being created with the AllocationCreated message. It also notes the beginning of a messaging thread between two parties.
File: msg-ex23-cds-execution-allocation-amended.xml
This example shows a change to the allocation that was created in example 22. The AllocationAmended message continues a thread between two parties.
File: msg-ex24-package-execution-notification.xml
This example shows a trade package (a bundle or package of trades executed as part of a single transaction)
File: msg-ex90-trade-execution-date-time.xml
This example shows the representation of the trade execution date time, which is a requirement for MiFID.
File: trade-info-ex01-request-info-update.xml
This example shows a request to update some information about a trade, specifically to add a trade identifier.
File: msg-ex01-option-expiry-notification.xml
This example shows an notification that options are about to expire
File: msg-ex02-request-execution-1-interest-rate-swaption.xml
This example shows a request to exercise options
File: msg-ex02-request-execution-2-do-not-exercise.xml
This example shows a request NOT to exercise options
File: msg-ex03a-execution-notification-option-exercised-1-cash.xml
This example shows an execution notification that options were excercised (cash)
File: msg-ex03a-execution-notification-option-exercised-2-physical-trade.xml
This example shows an execution notification that options were excercised (physical)
File: msg-ex03a-execution-notification-option-exercised-3-physical-security.xml
This example shows an execution notification that options were excercised (physical / security underlyer)
File: msg-ex03b-request-confirmation-physical.xml
This example shows a request confirmation (physical)
File: msg-ex04-execution-advice-option-exercised.xml
This example shows an execution advice that options were exercised
File: msg-ex05-execution-exception.xml
This example shows an execution exception
File: msg-ex06-maturity-notification-option-expired.xml
This example shows a message that reports an option has expired.
File: msg-ex07-maturity-notification-trade-matured.xml
This example shows a message that reports a trade has matured (passed its scheduled termination date and last payment.).
File: msg-exA-confirm-otc-equity-option.xml
This example shows a confirmation for an OTC Equity Option
File: msg-exB-expiring-otc-equity-option.xml
This example shows an notification that equity options are about to expire
File: msg-exC-request-execution-exercise-otc-equity-option.xml
This example shows a request to exercise the equity options
File: msg-exD-exercise-notification-otc-equity-option.xml
This example shows a notification that the physically settled OTC equity option has been exercised, showing the resulting instrument trade (of the equity).
File: msg-exM-confirm-bond-option.xml
This example shows a confirmation of an OTC bond option
File: msg-exN-expiring-otc-bond-option.xml
This example shows a notification that the above bond option is about to expire.
File: msg-exO-request-exercise-otc-bond-option.xml
This example shows a request to exercise the bond options
File: msg-exP-exercise-notification-new-trade-for-otc-bond-option.xml
This example shows a notification that the physically settled OTC bond option has been exercised, showing the resulting instrument trade (of the bond).
File: msg-exX-exercise-notification-fx-option.xml
This example shows a notification that an FX option has been exercised, showing the resulting spot FX trade.
File: msg-exY-exercise-notification-ir-swaption.xml
This example shows a notification that an interest rate swaption has been exercised, showing the resulting swap position.
File: msg-ex08-option-expiry-notification-with-original-trade.xml
This example shows an notification that options are about to expire, and includes a copy of the original trade.
File: msg-ex130-request-execution-option-exercise-straddle.xml
This example shows a request to exercise a straddle.
File: msg-ex131-execution-notification-option-exercised-straddle.xml
This example shows an execution notification that a straddle option was excercised.
File: msg-ex01-clearing-status.xml
This example shows a notification that options are expiring
File: msg-ex02-request-clearing-declear.xml
This example shows a request to de-clear
File: msg-ex03-clearingConfirmed-declear-sample1.xml
This example shows a clearing confirmation for de-clear
File: msg-ex04-clearingConfirmed-declear-sample2.xml
This example shows a clearing confirmation for de-clear
File: msg-ex05-clearingConfirmed-trade-terminated-due-to-netting.xml
This example shows a clearing confirmation for trade that was terminated due to netting activity
File: msg-ex06-clearingConfirmed-trade-created-due-to-netting.xml
This example shows a clearing confirmation for trade that was created due to netting activity
File: msg-ex07-clearingRequested-from-sef.xml
This example shows a request for clearing from a SEF to a clearing house
File: msg-ex08-clearingStatus-to-sef.xml
This example shows a clearing status message from a clearing house to a SEF
File: msg-ex09-clearingStatus-to-broker.xml
This example shows a clearing status message from a clearing house to a broker (clearing firm)
File: msg-ex10-clearingConfirmed-clearing-performed.xml
This example shows a clearing confirmation to a SEF showing the original trade and information about the cleared trades that were created.
File: msg-ex11-clearingConfirmed-trade-created-due-to-netting-portfolio-msg1.xml
This example shows a trade that was created because of a netting operation. The new trade is part of a portfolio.
File: msg-ex12-clearingConfirmed-trade-created-due-to-netting-portfolio-msg2.xml
This example shows a trade that was created because of a netting operation. The new trade is part of a portfolio.
File: msg-ex20-clearingRequested-from-sef-with-approved-allocations.xml
This example shows a clearing request including approved allocations.
File: msg-ex50-request-clearing-trade-package.xml
This example shows a request clearing msage for a trade package.
File: msg-ex51-clearing-confirmed-to-sef-trade-package.xml
This example shows a clearing confirmation for de-clear
File: msg-ex100-request-clearing-eligibility.xml
This example shows a request to check the mandatory clearing status of a trade with respect to regulatory bodies.
File: msg-ex101-clearing-eligiblity.xml
This example shows the mandatory clearing status of a trade with respect to different regulatory bodies.
This shows an example of execution of a package transaction (trade package).
This shows an example of execution of a package transaction (trade package) - single trade.
File: pkg-ex02-swap-spread-single-trade-execution-notification.xml
This shows an example of execution of a package transaction (trade package).
This shows an example of a request clearing message (trade package).
File: obs_ex01_commc.xml
This example shows an observation event, specifically for a commodity product.
File: obs_ex02_irc.xml
This example shows an observation event, specifically for an interest rate product.
File: obs_ex03_drvd_1.xml
This example shows an observation event, specifically for an interest rate product.
File: obs_ex04_drvd_2.xml
This example shows an observation event, specifically for an interest rate product.
File: reset_ex01.xml
This example shows a reset event based on two previous observations and including calculation details.
File: reset_ex02_reset_with_observations.xml
This example shows a reset event based on three previous observations and including calculation details. The reset event and the observations are all included in the same message.
This section contains twenty eight example FpML trades. Each example illustrates how different product features are modeled in FpML.
Example 5 shows the defaulted 'type' attributes as part of the sample document. This illustrates the additional content model information available to a validating parser when processing an FpML document.
The sample xml document are available for download from the fpml.org website.
File: ird-ex01-vanilla-swap.xml
On 12 December, 1994 Chase New York and Barclays Bank London enter into an ISDA swap agreement with each other. The terms of the contract are:
Note the following:
File: ird-ex01a-vanilla-swap.xml
Confirm: ird-ex01a-vanilla-swap.pdf
Note the following:
File: ird-ex02-stub-amort-swap.xml
The swap contract is identical to Example 1 except that there is an initial stub period and the notional amortizes.
The rate for the stub period is the linear interpolation between the 4-month and 5-month EUR-LIBOR-BBA rates.
The stub period on the floating stream runs from 16 January, 1995 to 14 June, 1995, and on the fixed stream from 16 January, 1995 to 14 December, 1995.
The notional amount is decreased by EUR 10,000,000 each year.
Note the following:
File: ird-ex03-compound-swap.xml
On 25 April, 2000 Morgan Stanley Dean Witter and JPMorgan enter into an ISDA swap agreement with each other. The terms of the contract are:
Note the following:
File: ird-ex04-arrears-stepup-fee-swap.xml
On 25 April, 2000 Morgan Stanley Dean Witter and JPMorgan enter into an ISDA swap agreement with each other. The terms of the contract are:
Note the following:
File: ird-ex04a-arrears-stepup-fee-swap.xml
Confirm: ird-ex04a-arrears-stepup-fee-swap.pdf
Note the following:
File: ird-ex05-long-stub-swap.xml
On 3 April, 2000 Chase and UBS Warburg enter into an ISDA swap agreement with each other. The terms of the contract are:
Note the following:
File: ird-ex05a-long-stub-swap.xml
Confirm: ird-ex05a-long-stub-swap.pdf
Note the following:
File: ird-ex06-xccy-swap.xml
On 12 December, 1994 Chase New York and Barclays Bank London enter into an ISDA cross-currency swap agreement with each other. The terms of the contract are:
Note the following:
File: ird-ex06a-xccy-swap.xml
Confirm: ird-ex06a-xccy-swap.pdf
Note the following:
File: ird-ex07-ois-swap.xml
On 25 January, 2001 Citibank and Mizuho Capital enter into an ISDA swap agreement with each other. The terms of the contract are:
Note the following:
File: ird-ex07a-ois-swap.xml
Confirm: ird-ex07a-ois-swap.pdf
Note the following:
File: ird-ex08-fra.xml
On 14 May, 1991 ABN AMRO Bank and Midland Bank enter a Forward Rate Agreement in which ABN AMRO is the seller of the notional contract amount and Midland the buyer. The terms of the contract are:
Note the following:
File: ird-ex08a-fra.xml
Confirm: ird-ex08a-fra.pdf
Note the following:
File: ird-ex09-euro-swaption-explicit.xml
On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:
Note the following:
File: ird-ex09a-euro-swaption-explicit.xml
Confirm: ird-ex09a-euro-swaption-explicit.pdf
Note the following:
File: ird-ex10-euro-swaption-relative.xml
On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:
File: ird-ex11-euro-swaption-partial-auto-ex.xml
On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:
File: ird-ex12-euro-swaption-straddle-cash.xml
On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:
File: ird-ex13-euro-swaption-cash-with-cfs.xml
On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:
Note the following:
File: ird-ex14-berm-swaption.xml
On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:
Note the following:
File: ird-ex15-amer-swaption.xml
On 30 August, 2000 Party buys from PartyB an option to exercise into an underlying ISDA swap. The terms of the contract are:
Note the following:
File: ird-ex16-mand-term-swap.xml
On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA swap with early termination provision. The terms of the contract are:
Note the following:
File: ird-ex17-opt-euro-term-swap.xml
On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA swap with early termination provision. The terms of the contract are:
File: ird-ex18-opt-berm-term-swap.xml
On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA swap with early termination provision. The terms of the contract are:
Note the following:
File: ird-ex19-opt-amer-term-swap.xml
On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA swap with early termination provision. The terms of the contract are:
File: ird-ex20-euro-cancel-swap.xml
On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA swap with Cancelable provision. The terms of the contract are:
File: ird-ex21-euro-extend-swap.xml
On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA swap with Extendible provision. The terms of the contract are:
File: ird-ex22-cap.xml
On 29 April, 2001 PartyA sells to PartyB an interest rate cap. The terms of the contract are:
Note the following:
File: ird-ex23-floor.xml
On 29 April, 2001 PartyA sells to PartyB an interest rate floor. The terms of the contract are:
Note the following:
File: ird-ex24-collar.xml
On 29 April, 2001 PartyB sells to PartyA an interest rate collar (PartyA buys a cap and sells a floor). The terms of the contract are:
Note the following:
File: ird-ex25-fxnotional-swap.xml
On 9 January, 2001 PartyA and PartyB agree to enter into an FX Reseting interest rate swap. The terms of the contract are:
File: ird-ex26-fxnotional-swap-with-cfs.xml
On 9 January, 2001 PartyA and PartyB agree to enter into a forward starting FX Reseting interest rate swap. The terms of the contract are:
Things to note:
File: ird-ex27-inverse-floater.xml
On 30 August, 2000 PartyA and PartyB agree to enter into an ISDA. The terms of the contract are:
Things to note:
File: ird-ex28-bullet-payments.xml
On 29 April, 2000 PartyA agrees the payment of a single cashlow to PartyB. The terms of the contract are:
File: ird-ex29-non-deliverable-settlement-swap.xml
Example that shows non-deliverable terms of an interest rate swap.
These non-deliverable terms specify the conditions under which the cashflows will be made in a different currency (the "settlement currency") than the currency in which a given leg is denominated (the "reference currency").
File: ird-ex30-swap-comp-avg-relative-date.xml
This example illustrates a feature of the FpML interest rate swap model but in practice is not used in real trading activity.
Compounding and averaging interest rate swap with relative effective dates and relative termination dates.
Effective dates equal the trade date plus two London business days. The resulting date is adjusted using the London and New York calendars and the modified following rule.
Termination dates equal the effective date plus two years. The resulting date is adjusted using the London and New York calendars and the modified following rule.
File: ird-ex31-non-deliverable-settlement-swap.xml
Example that shows within the non-deliverable terms the procedure to get a new quote when the primary settlement rate option is disrupted.
File: ird-ex32-zero-coupon-swap.xml
Example that shows a zero coupon swap with the following characteristics:
File: ird-ex33-BRL-CDI-swap.xml
Example that shows a Brazilian Interest Rate swap. It consists of a fixed and a floating leg, both zero coupon and quoted in Brazilian Reals, but settled in US Dollars.
File: ird-ex34-MXN-swap.xml
Example of a Mexican swap with lunar rolls. Some characteristics:
File: ird-ex35-inverse-floater-inverse-vs-floating.xml
On 29 April, 2009 PartyA and PartyB agree to enter into an ISDA. The terms of the contract are:
Things to note:
File: ird-ex36-amer-swaption-pred-clearing.xml
Example illustrating the use of predeterminedClearingOrganizationPartyReference
This section contains example FpML trades for Inflation Swaps. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
FpML File: inflation-swap-ex02-yoy-bond-reference.xml
FpML File: inflation-swap-ex04-yoy-interp.xml
FpML File: inflation-asset-swap-ex01-ratio-zc-floored.xml
In an Inflation Asset Swap, the economics of the inflation leg are inherited directly from an inflation linked bond such that all cash-flows of the bond are mirrored in the asset swap. The second leg is a floating leg.
FpML File: inflation-asset-swap-ex02-ratio-zc-floored.xml
ISDA Confirm: inflation-asset-swap-ex02-ratio-zc-floored.pdf
In an Inflation Asset Swap, the economics of the inflation leg are inherited directly from an inflation linked bond such that all cash-flows of the bond are mirrored in the asset swap. The second leg is a floating leg.
05 December 2014: Party 1 and Party2 enter into an ISDA swap agreement with each other. The terms of the agreement are:
This section contains example credit default swap trades expressed in FpML. These examples cover typical trades in the various regions and sectors that constitute the global credit default swap market.
Each example is fully described by the ISDA confirm which accompanies it. Note that the ISDA confirms represent example transactions documented under the 1999 ISDA Credit Derivatives Definitions. For the short form examples 2, 8 and 11 and the long form examples 7 and 10 additional FpML example files have been included illustrating how the deal would typically be documented under the 2003 ISDA Credit Derivatives Definitions.
The name of each example consists of three components:
In some cases there is an example that uses the 2003 ISDA definitions.
FpML File: cd-ex01-long-asia-corp-fixreg.xml
ISDA Confirm: cd-ex01-long-asia-corp-fixreg.pdf
FpML File: cd-ex02-short-asia-corp-fixreg.xml
FpML File (2003 version): cd-ex02-2003-short-asia-corp-fixreg.xml
ISDA Confirm: cd-ex02-short-asia-corp-fixreg.pdf
File: cd-ex03-long-aussie-corp-fixreg.xml
ISDA Confirm: cd-ex03-long-aussie-corp-fixreg.pdf
File: cd-ex04-short-aussie-corp-fixreg.xml
ISDA Confirm: cd-ex04-short-aussie-corp-fixreg.pdf
File: cd-ex05-long-emasia-corp-fixreg.xml
ISDA Confirm: cd-ex05-long-emasia-corp-fixreg.pdf
File: cd-ex06-long-emeur-sov-fixreg.xml
ISDA Confirm: cd-ex06-long-emeur-sov-fixreg.pdf
File: cd-ex07-long-euro-corp-fixreg.xml
File (2003 version): cd-ex07-2003-long-euro-corp-fixreg.xml
ISDA Confirm: cd-ex07-long-euro-corp-fixreg.pdf
File: cd-ex08-short-euro-corp-fixreg.xml
File (2003 version): cd-ex08-2003-short-euro-corp-fixreg.xml
ISDA Confirm: cd-ex08-short-euro-corp-fixreg.pdf
File: cd-ex09-long-euro-sov-fixreg.xml
ISDA Confirm: cd-ex09-long-euro-sov-fixreg.pdf
File: cd-ex10-long-us-corp-fixreg.xml
File (2003 version): cd-ex10-2003-long-us-corp-fixreg.xml
ISDA Confirm: cd-ex10-long-us-corp-fixreg.pdf
File: cd-ex11-short-us-corp-fixreg.xml
File (2003 version): cd-ex11-2003-short-us-corp-fixreg.xml
ISDA Confirm: cd-ex11-short-us-corp-fixreg.pdf
File: cd-ex12-long-emasia-sov-fixreg.xml
ISDA Confirm: cd-ex12-long-emasia-sov-fixreg.pdf
File: cd-ex13-long-asia-sov-fixreg.xml
ISDA Confirm: cd-ex13-long-asia-sov-fixreg.pdf
File: cd-ex14-long-emlatin-corp-fixreg.xml
ISDA Confirm: cd-ex14-long-emlatin-corp-fixreg.pdf
File: cd-ex15-long-emlatin-sov-fixreg.xml
ISDA Confirm: cd-ex15-long-emlatin-sov-fixreg.pdf
Transaction Supplement: cd-CDX-iTraxx-example-trades.pdf
File: cdindex-ex01-cdx.xml
Transaction Supplement: cd-CDX-iTraxx-example-trades.pdf
File: cdindex-ex02-iTraxx.xml
Transaction Supplement: cd-non-dealer-untranched-short-confirm.pdf
This section contains twenty three example FpML trades related to FX and FX OTC options. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
File: fx-ex01-fx-spot.xml
On 23 October, 2001, Citibank New York and Barclay's London agree to a foreign exchange trade. The terms of the contract are:
Matching Service sends a TradeConfirmed message to CITI with the details of the confirmation.
File: fx-ex02-spot-cross-w-side-rates.xml
On 23 October, 2001, Chase New York and CSFB New York agree to a foreign exchange trade. The terms of the contract are similar to Example 1, but in this case, the currencies exchanged are EUR and GBP. Both of these institutions are USD-based, so rates against the base currency (USD) have been captured as well. The terms of the contract are:
Chase sends a RequestTradeConfirmation message to Matching Service with the details of the confirmation.
File: fx-ex03-fx-fwd.xml
On 19 November, 2001, ABN Amro and DeutscheBank agree to a one-month forward foreign exchange contract. The terms of the contract are:
ABN sends a RequestTradeConfirmation message to Matching Service with the details of the confirmation.
File: fx-ex04-fx-fwd-w-settlement.xml
On 12 November, 2001, UBS Zurich and Citibank New York agree to a foreign exchange contract. The terms of the contract are:
Matching Service sends a TradeConfirmed message to CITI with the details of the confirmation.
Settlement is highlighted in this example. In this case, UBS pays the GBP from their account at UBS London to Citi's GBP account at Citi London, with the ultimate beneficiary being Citi New York.
For the USD, Citi pays the USD to ultimate beneficiary UBS Zurich, but in this case, UBS Zurich holds its USD at Citibank, and therefore UBS' account as Citibank is credited.
File: fx-ex05-fx-fwd-w-ssi.xml
This is identical to Example 3, but the standard settlement scheme is used to highlight that this trade will be paid using standard, pre-agreed settlement instructions.
ABN sends a RequestTradeConfirmation message to Matching Service with the details of the confirmation.
File: fx-ex06-fx-fwd-w-splits.xml
On 12 November, 2001, DeutscheBank Frankfurt and ABN Amro Amsterdam agree to a forward foreign exchange contract. The terms of the contract are:
Deutsche Bank sends a TradeConfirmed message to ABN Amro with the details of the confirmation.
In this example, the exchange rate has been quoted as an "inverted" rate.
Split settlement is highlighted in this example in the payment of the USD. Here, the following has been specified:
The ultimate beneficiary is ABNANL2A for all USD payments, but 3 different accounts have been specified for settlement.
For the EUR, ABN pays all EUR to Deutsche, but specifies settlement of the EUR via a debit of ABN's account in EUR with Deutsche.
File: fx-ex07-non-deliverable-forward.xml
On 09 January, 2002, Chase New York and CSFB New York agree to a FX non-deliverable forward contract. The terms of the contract are:
Chase sends a RequestTradeConfirmation message to CSFB with the details of the confirmation.
File: fx-ex08-fx-swap.xml
On 23 January, 2002, Chase New York and Deutsche Frankfurt agree to an FX swap contract. The terms of the contract are:
Deutsche Bank sends a TradeConfirmed message to Chase with the details of the confirmation.
File: fx-ex09-euro-opt.xml
On 4 December, 2001, Chase agrees to purchase a standard FX OTC option from ABN Amro. The terms of the contract are:
ABN Amro sends a RequestTradeConfirmation message to Chase with the details of the confirmation.
File: fx-ex10-amer-opt.xml
On 4 December, 2001, Chase agrees to purchase a standard FX OTC option from ABN Amro. The terms of the contract are:
ABN Amro sends a TradeConfirmed message to Chase with the details of the confirmation.
File: fx-ex11-non-deliverable-option.xml
On 15 January, 2001, Chase agrees to purchase a non-deliverable FX OTC USD / VEB option from ABN Amro. The terms of the contract are:
ABN Amro sends a TradeConfirmed message to Chase with the details of the confirmation.
File: fx-ex12-fx-barrier-option.xml
On 16 August, 2001, DB agrees to purchase a EUR call against USD put barrier option with a knock-in
Chase sends a RequestTradeConfirmation message to DB with the details of the confirmation.
File: fx-ex13-fx-dbl-barrier-option.xml
On 3 January, 2001, DB agrees to purchase a 2-month double knockout FX OTC JPY put / USD call option from Chase The terms of the contract are:
DB sends a RequestTradeConfirmation message to Chase with the details of the confirmation.
File: fx-ex14-euro-digital-option.xml
On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD European binary option and pays a premium. At expiry, if the spot rate is above the trigger rate, UBS receives a payout.
CITI sends a TradeConfirmed message to UBS with the details of the confirmation.
File: fx-ex15-euro-range-digital-option.xml
On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD European range binary option and pays a premium. At expiry, if below the higher trigger rate and above the lower trigger rate, UBS receives a payout.
CITI sends a RequestTradeConfirmation message to UBS with the details of the confirmation.
File: fx-ex16-one-touch-option.xml
On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD one-touch option and pays a premium. At any time before expiry, if the spot rate is above the trigger rate, UBS receives a payout, but this payout is deferred until the value date of the option.
CITI sends a TradeConfirmed message to UBS with the details of the confirmation.
File: fx-ex17-no-touch-option.xml
On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD no-touch option and pays a premium. If the spot rate remains below the trigger rate at all times until expiry, UBS receives a payout.
CITI sends a TradeConfirmed message to UBS with the details of the confirmation.
File: fx-ex18-double-one-touch-option.xml
On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD double one-touch option and pays a premium. UBS receives a payout at maturity if the spot rate has crossed either trigger rate at some time during the lifetime of the option.
UBS sends a RequestTradeConfirmation message to Citi with the details of the confirmation.
File: fx-ex19-double-no-touch-option.xml
On 12 November, 2001, UBS agrees to purchase a two-week GBP/USD double no-touch option and pays a premium. If the spot rate remains below the upper trigger rate and above the lower trigger rate at all times until expiry, UBS receives a payout.
Chase sends a RequestTradeConfirmation message to DB with the details of the confirmation.
File: fx-ex20-avg-rate-option-parametric.xml
On 16 August, 2001, DB agrees to purchase an average rate option from Chase and pays a premium. The terms of the contract are:
Chase sends a TradeConfirmed message to DB with the details of the confirmation.
File: fx-ex21-avg-rate-option-parametric-plus-rate-observation.xml
This example is identical to Example 20. In addition, specific dates within the schedule have been specified for which rates have been observed.
Chase sends a RequestTradeConfirmation message to DB with the details of the confirmation.
File: fx-ex22-avg-rate-option-specific.xml
This example is identical to Example 20. Instead of using a parametric frequency (e.g., daily), each specific observation date has been specified. All weighting factors are 1.0, since all rates would be weighted evenly when the average rate is computed upon expiry.
Chase sends a RequestTradeConfirmation message to DB with the details of the confirmation.
File: fx-ex23-straddle.xml
On 20 November 2001, Chase agrees to purchase a straddle from ABN Amro. A straddle consists of buying a call and a put for the same currency pair, at the same strike price.
This contains two instances of the fxSimpleOption structure within strategy. Note that this is used when a single trade reference number is desired.
ABN Amro sends a RequestTradeConfirmation message to Chase with the details of the confirmation.
File: fx-ex24-delta-hedge.xml
On 4 December, 2001, Chase agrees to purchase an FX OTC European option from ABN Amro. At the same time, they agree to hedge their FX spot risk by doing a FX spot transaction. This is all part of a single trade strategy.
ABN Amro sends a TradeConfirmed message to Chase with the details of the confirmation.
File: fx-ex30-variance-swap.xml
ISDA Template: June-2013-Vol-Swap-Var-Supplement-to-the-1998-FX-Defs-Final.pdf
File: fx-ex31-volatility-swap.xml
ISDA Template: June-2013-Vol-Swap-Var-Supplement-to-the-1998-FX-Defs-Final.pdf
File: fx-ex32-forward-volatility-agreement.xml
ISDA Confirm: fx-ex32-forward-volatility-agreement.pdf
FpML File: fx-ex34-target-digital.xml
ISDA Confirm: fx-ex34-target-digital.pdf
FpML File: fx-ex35-target-pivot.xml
ISDA Confirm: fx-ex35-target-pivot.pdf
FpML File: fx-ex35-target-pivot-settlement-period-schedule.xml
ISDA Confirm: fx-ex35-target-pivot.pdf
FpML File: fx-ex36-target-leverage.xml
ISDA Confirm: fx-ex36-target-leverage.pdf
FpML File: fx-ex37-target-knockout.xml
ISDA Confirm: fx-ex37-target-knockout.pdf
FpML File: fx-ex38-target-rebate.xml
ISDA Confirm: fx-ex38-target-rebate.pdf
FpML File: fx-ex39-target-split.xml
ISDA Confirm: fx-ex39-target-split.pdf
FpML File: fx-ex40-target-accelerated.xml
ISDA Confirm: fx-ex40-target-accelerated.pdf
FpML File: fx-ex41-target-bonus-collar.xml
ISDA Confirm: fx-ex41-target-bonus-collar.pdf
FpML File: fx-ex41-target-bonus-collar-settlement-period-schedule.xml
ISDA Confirm: fx-ex41-target-bonus-collar.pdf
FpML File: fx-ex42-target-eki.xml
ISDA Confirm: fx-ex42-target-eki.pdf
FpML File: fx-ex43-target-eki.xml
ISDA Confirm: fx-ex43-target-eki.pdf
FpML File: fx-ex43-target-eki-settlement-period-schedule.xml
ISDA Confirm: fx-ex43-target-eki.pdf
FpML File: fx-ex43-target-eki-settlement-period-schedule-references.xml
References to the payoff region and barriers can be added within the settlementPeriodSchedule to further describe the behavior of the components. Implementers may choose to add them within the first settlementPeriod only since all the other periods have the same behavior.
ISDA Confirm: fx-ex43-target-eki.pdf
FpML File: fx-ex44-accrual-forward.xml
ISDA Confirm: fx-ex44-accrual-forward.pdf
FpML File: fx-ex45-accrual-forward-leverage.xml
ISDA Confirm: fx-ex45-accrual-forward-leverage.pdf
FpML File: fx-ex46-accrual-forward-american-lose-boost.xml
ISDA Confirm: fx-ex46-accrual-forward-american-lose-boost.pdf
FpML File: fx-ex47-accrual-forward-european-fading-forward.xml
ISDA Confirm: fx-ex47-accrual-forward-european-fading-forward.pdf
FpML File: fx-ex48-accrual-option-strategy-fading-extra.xml
ISDA Confirm: fx-ex48-accrual-option-strategy-fading-extra.pdf
FpML File: fx-ex49-accrual-forward-boost-strip.xml
ISDA Confirm: fx-ex49-accrual-forward-boost-strip.pdf
FpML File: fx-ex49-accrual-forward-boost-strip-settlement-period-schedule.xml
ISDA Confirm: fx-ex49-accrual-forward-boost-strip.pdf
FpML File: fx-ex50-accrual-forward-double-accrual.xml
ISDA Confirm: fx-ex50-accrual-forward-double-accrual.pdf
FpML File: fx-ex51-accrual-forward-american-keep-double-multi-settlement.xml
ISDA Confirm: fx-ex51-accrual-forward-american-keep-double-multi-settlement.pdf
FpML File: fx-ex51- accrual-forward-american-keep-double-multi-settlement-settlement-period-schedule.xml
ISDA Confirm: fx-ex51-accrual-forward-american-keep-double-multi-settlement.pdf
FpML File: fx-ex52-accrual-forward-collar.xml
ISDA Confirm: fx-ex52-accrual-forward-collar.pdf
FpML File: fx-ex53-accrual-forward-variable-strike.xml
ISDA Confirm: fx-ex53-accrual-forward-variable-strike.pdf
FpML File: fx-ex54-accrual-option-american.xml
ISDA Confirm: fx-ex54-accrual-option-american.pdf
FpML File: fx-ex55-accrual-option-average-strike.xml
ISDA Confirm: fx-ex55-(accrual)-option-average-strike.pdf
FpML File: fx-ex56-accrual-option-average-rate.xml
ISDA Confirm: fx-ex56-(accrual)-option-average-rate.pdf
FpML File: fx-ex57-accrual-digital-option-american.xml
ISDA Confirm: fx-ex57-accrual-digital-option-american.pdf
FpML File: fx-ex58-accrual-range-accrual-european.xml
ISDA Confirm: fx-ex58-accrual-range-accrual-european.pdf
FpML File: fx-ex59-accrual-range-accrual-european.xml
ISDA Confirm: fx-ex59-accrual-range-accrual-european.pdf
File: td-ex01-simple-term-deposit.xml
ABN Amro pays 4% CHF fixed rate loan on ACT/360 basis a for 25 million Deposit from Midland starting February 14, 2002 and maturing February 15, 2002.
ABN Amro sends a TradeConfirmed message to Midland with the details of the confirmation.
File: td-ex02-term-deposit-w-settlement-etc.xml
ABN Amro pays 4% CHF fixed rate loan on ACT/360 basis a for 25 million Deposit from Midland starting February 14, 2002 and maturing February 15, 2002. This example also demonstrates setting explicit settlement instructions for each cash flow.
ABN Amro sends a TradeConfirmed message to Midland with the details of the confirmation.
File: dcd-ex01-dual-currency-deposit.xml
ABN Amro pays 8% USD fixed rate loan on ACT/360 basis for 1 million Deposit from Midland starting June-24-2008 and maturing July 24, 2008. The principal can be repaid after being converted into the JPY (alternative currency) at 109.48 strike rate at maturity (depending on the spot foreign exchange rate.) Quote: 109.48m 1-month JPY Put on 1m USD @ strike of 109.48
ABN Amro sends a TradeConfirmed message to Midland with the details of the confirmation.
Note: this Dual Currency Deposit in FpML 4.x is represented using the Strategy component in order to bundle an instance of fxSimpleOption and termDeposit.
This section contains examples of FpML trades for Equity Options products. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
File: eqd-ex01-american-call-stock-long-form.xml
On 13 July, 2001, Party A and Party B agree to an equity option trade. The terms of the contract are:
File: eqd-ex02-calendar-spread-short-form.xml
On 13 July, 2001, Party A and Party B agree to an equity option trade. The terms of the contract are:
File: eqd-ex04-european-call-index-long-form.xml
On 4 September, 2001, Party A and Party B agree to an equity option trade. The terms of the contract are:
File: eqd-ex05-asian-long-form.xml
On 28 June, 2000, Party A and Party B agree to an equity option trade. The terms of the contract are:
This example shows a RequestTradeConfirmation message of this trade sent by Party A to Party B.
File: eqd-ex06-averaging-in-long-form.xml
A RequestTradeConfirmation message of an averaging long form equity option.
File: eqd-ex07-barrier-knockout-rebate-long-form.xml
A TradeConfirmed message of an European Call on Eurostoxx 50 Index traded on 1 July 2002.
File: eqd-ex08-basket-long-form.xml
A RequestTradeConfirmation message of an European call option on a basket of stocks.
File: eqd-ex09-bermuda-long-form.xml
This example shows a TradeConfirmed message of a bermuda long form equity option trade.
File: eqd-ex10-binary-barrier-long-form.xml
This example shows a RequestTradeConfirmation message of a binary barrier long form equity option trade.
A European Call on S&P500 Index trade 25 March 2002:
File: eqd-ex20-nested-basket.xml
An example illustrating a nested basket underlyer.
File: eqd-ex21-flat-weight-basket.xml
An example illustrating flat basket weights.
File: eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml
An example illustrating asian dates.
File: eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml
An example illustrating cliquet.
File: eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml
An example illustrating Asian schedule.
File: eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml
An example illustrating Knock-In-Knock-Out Features.
File: eqd-ex26-mixed-asset-basket.xml
An example illustrating mixed basket underlyer.
File: eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml
An example illustrating EMEA EM (Interdealer) MCA with Foreign Ownership Event as additional disruption event.
This section contains examples of FpML trades for Bond and Convertible Bond products. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
This section contains example FpML trades for Equity Swaps, including Total Return Swaps. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
File: eqs-ex01-single-underlyer-execution-long-form.xml
On 24th September, 2002, Party A and Party B agree to an equity swap trade. The terms of the contract are:
Party A sends a RequestTradeConfirmation message to Party B with the details of the agreement.
File: eqs-ex02-composite-basket-long-form.xml
On 17th July, 2002, Party A and Party B agree to an equity swap trade. The terms of the contract are:
Party A sends a TradeConfirmed message to Party B with the details of the agreement.
File: eqs-ex03-index-quanto-long-form.xml
On 19th July, 2002, Party A and Party B agree to an equity swap trade. The terms of the contract are:
Party A sends a RequestTradeConfirmation message to Party B with the details of the agreement.
File: eqs-ex04-zero-strike-long-form.xml
On 17th October, 2002, Party A and Party B agree to an equity swap trade. The terms of the contract are:
Party A sends a TradeConfirmed message to Party B with the details of the agreement.
File: eqs-ex05-single-stock-plus-fee-long-form.xml
On 10th September, 2002, Party A and Party B agree to an equity swap trade. The terms of the contract are:
Party A sends a RequestTradeConfirmation message to Party B with the details of the agreement.
File: eqs-ex06-single-index-long-form.xml
Party A sends a TradeConfirmed message to Party B with the details of the agreement.
File: eqs-ex07-long-form-with-stub.xml
On 17th July, 2002, Party A and Party B agree to an equity swap trade. The terms of the contract are:
Party A sends a TradeConfirmed message to Party B with the details of the agreement.
File: eqs-ex08-composite-basket-long-form-separate-spreads.xml
Party A sends a RequestTradeConfirmation message to Party B with the details of the agreement.
The deal needs to be updated on/after the strike date to add Initial Price and Equity Notional numeric values:
File: eqs-ex15-forward-starting-pre-european-interdealer-share-swap-short-form.xml
The deal needs is updated on/after the strike date - add Initial Price and replaced Equity Notional determination method with Equity Notional numeric values:
File: eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml
The Markit IOS is a synthetic total return swap index referencing the interest component of 30-year fixed-rate Fannie Mae residential mortgage pools
File: trs-ex04-index-ios.xml
This section contains example FpML trades for Equity Forwards. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
File: eqf-ex01-forward-stock-long-form.xml
TradeCancelled message of an Equity Forward Stock Long Form trade.
This section contains example FpML transactions for Volatility family products - Variance Swaps and Options and Volatility Swaps. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
This section contains example FpML trades for Correlation Swaps. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
This section contains examples of FpML transactions for Dividend Swap product. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
This section contains example FpML trades for securities.
This section contains examples for Loans. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
In Loan FpML v5.11, facility level events are all contained within the facilityEventGroup substitution group and are communicated through the Facility Notification. Multiple events conveyed in separate notifications but related to a single overarching facility-level parent event can be connected via the same parentEventIdentifier.
The following identifiers are used within the notifications to represent different actors or structures (e.g. facility structure) related to the transaction:
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | US2A432121 | BANKOFAGENTSNA |
| Borrower | US3B789454 | BORROWERINC |
| Co-Borrower | US4C147258 | COBORROWERINC |
| Lender | US5L567878 | LENDERCORP |
| Facility | F123452TLA | GUARANTORPARTNERSLLC |
| FAC12345 | Generally 30 year bonds. The CDS trade terminates with the maturity of the underlyer | Five or ten years are most common. CDS trades terminate with the maturity of the underlyer or a credit event |
These notifications communicate a change to the rate associated with an accruing facility-level fee. Accrual fees are calculated using the fee rate and an underlying balance on the facility e.g. total commitment, total utilization, etc.
This notification is sent from the administrative agent to the lender to communicate an accruing fee change. The fee will be paid every 3 months at a rate of 0.0075 and is calculated using the unutilized amount (net of funded and unfunded utilization).
File: Loan_AccrFeeChng_ex1.xml
This notification is sent from the administrative agent to the lender to communicate an accruing fee change. The fee will be paid every 3 months at a rate of 1.25 and is valid for a period of 2 years, effective 12/31/2012.
File: Loan_AccrFeeChng_ex2.xml
This notification is sent from the administrative agent to the lender to communicate an accruing fee change effective 11/10/2014. The fee will be paid every 3 months at a rate of 0.25. The rate expires on 12/31/2017.
File: Loan_AccrFeeChng_ex3.xml
These notifications communicate the expiry of the rate associated with an accruing facility-level fee.
This notification communicates details about the expiry date for an accruing fee, in this case, a utilization fee which is expiring for FAC12345 as of 12/31/12.
File: Loan_AccrFeeExp_ex1.xml
This notification communicates a change in an accrual option for the Term Loan A facility. A new fixed rate of 2.0% is effective as of 10/11/2014 with a monthly payment frequency.
File: Loan_AccrOptChng_ex1.xml
These notifications communicate details about accruing fee payments.
This notification describes the payment of an unutilized fee. I.e. the fee is calculated based on the amount of the facility that was not utilized by an outstanding or letter of credit.
File: Loan_AccrFeePay_ex1.xml
This notification describes the payment of a facility commitment fee. The facility commitment fee is calculated on the total face amount of the commitment, regardless of the amount that is utilized by an outstanding or letter of credit. This event is an example of a global fee payment event taking place.
File: Loan_AccrFeePay_ex2.xml
These notifications communicate details about the payment of miscellaneous fees (origination/upfront, syndication, amendment, etc.).
This notification describes the payment of an amendment fee in the amount of $650,000.00, due to a prepayment made on 5/30. As per the credit agreement in this scenario, if the borrower makes a prepayment ahead of the term loan repricing, the borrower shall pay a prepayment premium of 1.0% of the amount of the term loan.
This notification communicates the details of an accruing PIK payment on a facility, in the amount of $15,246.85. The payment is made by the agent to the lender and is effective 12/20/2015.
File: Loan_AccrPikPay_ex1.xml
This notification communicates the details of an amendment fee payment, made by the agent to the lender in the amount of $36,548.36. The payment is effective 12/18/2012.
File: Loan_AmendFeePay_ex1.xml
This notification is sent from the agent to the lender to communicate a funding fee payment in the amount of $50,236.48. The payment is effective as of 10/8/2014.
File: Loan_FundFeePay_ex1.xml
This notification is sent from the administrative agent to the lender to communicate the payment of a facility extension fee. The amount of the fee is typically determined in the Credit Agreement.
This notification, sent by the administrative agent to the lender, is used to communicate a miscellaneous facility fee payment. In this case, the miscellaneous fee is an “On Limit Amount” fee and is payable 12/31/2011.
File: Loan_MiscFeePay_ex1.xml
This notification is sent from the administrative agent to the lender to communicate an upfront fee payment. This payment, in the amount of $51425.50, is paid on 12/15/2014.
This notification is sent from the administrative agent to the lender to communicate the details of a waiver fee payment, effective on 7/10/2014.
This notification communicates the details of a commitment decrease due to a voluntary paydown of the facility. The paydown amount is $1,929,373.18 with a lender share payment of $63,598.04. The new total commitment is stated in the notification.
File: Loan_CommitAdj_ex1.xml
This notification is sent from the administrative agent to the lender to communicate the termination of a facility, effective on the maturity date of 12/20/2014.
File: Loan_FacTerm_ex1.xml
This notification is sent from the administrative agent to the lender to communicate a facility prepayment. The amount of the prepayment is $100,000.00, effective on 9/20/2014.
File: Loan_FacPrepay_ex1.xml
This notification is sent from the administrative agent to the lender and uses a parentEventIdentifier to communicate the connection to the above example. The facility prepayment fee in the amount of $5,000.00 is paid on the same date as the facility prepayment, 9/20/2014.
These notifications communicate details about rate changes (default, penalty, etc.).
This notification is sent from the agent to the lender to communicate a change in the default rate, per the credit agreement. The new rate is effective as of 12/18/2013.
File: Loan_DefRtChg_ex1.xml
This notification is sent from the administrative agent to the lender to communicate the change in a mandatory cost rate. The new rate is effective as of 12/18/2013 on a Term Loan A facility.
File: Loan_MndCstRtChg_ex1.xml
This notification is sent from the administrative agent to the lender to communicate a change in the penalty rate for the Term Loan A Facility referenced (F123452TLA). The new rate is effective as of 9/22/2014.
File: Loan_PenRtChg_ex1.xml
These notifications communicate details about rate expirations (default, penalty, etc.).
This notification is sent from the administrative agent to the lender to communicate the expiration of a default rate, as of 2/1/2014.
File: Loan_DefRtExp_ex1.xml
This notification is sent from the administrative agent to the lender to communicate the expiration of a mandatory cost rate. The rate is set to expire on 11/16/2013, one week after the notice date (11/09/2013).
This notification is sent from the administrative agent to the lender to communicate the expiration of the penalty rate for the referenced facility, F123452TLA. The rate expires as of 9/20/2014.
File: Loan_PenRtExp_ex1.xml
In Loan FpML v5.11, loan contract-level events are all contained within the loanContractEventGroup substitution group and are communicated through the Loan Contract Notification. Multiple events conveyed in separate notifications but related to a single overarching loan contract-level parent event can be connected via the same parentEventIdentifier.
Most of the events communicated using the Loan Contract Notification are contained within the Rollover section of this document.
A breakage fee payment is a fee calculated as the cost of breaking financing against a loan contract which is repaid early. In this example, the administrative agent communicates to the lender that a fee payment will occur on 6/6/2014 in the amount of $10,000.00. This fee has been calculated by the agent bank.
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | US2A432121 | BANKOFAGENTSNA |
| Borrower | US3B789454 | BORROWERINC |
| Lender | US5L567878 | LENDERCORP |
| Facility | F123452TLA | FAC12345 |
| Loan Contract | LCON123 | CC1234 |
File: Loan_BrkgFeePymt_ex1.xml
In this example, the administrative agent communicates to the lender about capitalized interest in the amount of $75,000.00. The calculation method is based on the contract position through period.
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | US2A432121 | BANKOFAGENTSNA |
| Borrower | US3B789454 | BORROWERINC |
| Lender | US5L567878 | LENDERCORP |
| Facility | F123452TLA | FAC12345 |
| Loan Contract | LCON123 | CC1234 |
File: Loan_IntCap_ex1.xml
In this example, the administrative agent communicates to the lender that interest in the amount of $141,469.78 (lender share=$70,734.89) will be paid. The calculation method is based on the contract position through period. Note that the borrower and co-borrower party structures are not necessary to this structure since nothing in the message structure references these structures; the parties are included for clarity.
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | US2A432121 | BANKOFAGENTSNA |
| Borrower | US3B789454 | BORROWERINC |
| Co-Borrower | US4C147258 | COBORROWERINC |
| Lender | US5L567878 | LENDERCORP |
| Facility | F123452TLA | FAC12345 |
| Loan Contract | LCON123 | CC1234 |
File: Loan_IntPay_ex1.xml
In this example, the administrative agent communicates to the lender about an adjustment, in this case an increase, to an existing loan contract. The adjustment amount as well as lender share of that amount are stated in the notification.
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | US2A432121 | BANKOFAGENTSNA |
| Borrower | US3B789454 | BORROWERINC |
| Lender | US5L567878 | LENDERCORP |
| Facility | F123452TLA | FAC12345 |
| Loan Contract | LCON123 | CC1234 |
File: Loan_ContAdj_ex1.xml
In this notification, the administrative agent communicates to the lender a maturity date change on an existing loan contract. The date is changing from 9/15/15 to 12/15/15.
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | US2A432121 | BANKOFAGENTSNA |
| Borrower | US3B789454 | BORROWERINC |
| Lender | US5L567878 | LENDERCORP |
| Facility | F123452TLA | FAC12345 |
| Loan Contract | LCON123 | CC1234 |
File: Loan_MatChg_ex1.xml
Letter of Credit Notifications provide a means for an administrative agent to communicate issuance, amendment, and termination of letters of credit. The administrative agent also acts as a conduit between the issuing bank and the lenders. In Loan FpML v5.11, all letter of credit events are contained within the lcEventGroup substitution group. Multiple events conveyed in separate messages but related to a single letter of credit-level parent event can be connected via the same parentEventIdentifier.
The following identifiers are used within the notifications to represent different actors or structures (i.e. term and revolving facility) related to the transaction:
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | US2A432121 | BANKOFAGENTSNA |
| Borrower | US3B789454 | BORROWERINC |
| Beneficiary | US1B987656 | BENEFICIARYBANK |
| Lender | US5L567878 | LENDERCORP |
| Issuing Bank | US6I874125 | ISSUINGBANKINC |
| Term Facility | F123452TLA | FAC12345 |
| Revolving Facility | F234564REV | FAC67890 |
| Standby Letter of Credit 1 | LC45996ST | LOC234 |
| Standby Letter of Credit | LC22340ST | LOC567 |
| Synthetic Letter of Credit | LC59900SN | LOC123 |
| Trade Letter of Credit | LC22360T | LOC789 |
This notification is sent by the agent to the lender to communicate an adjustment, in this case a decrease, of a standby letter of credit. A decrease in the amount of $50,000.00 will be applicable effective 11/12/2014. The relatedBorrowing element is set to false, as this is a normal decrease in the letter of credit amount and there is no loan borrowing taking place in conjunction with the decrease.
File: Loan_LCAdj_ex1.xml
This example represents an L/C fee payment against two standby letters of credit. The example is transmitted as 2 notices:
File: Loan_LCFeePay_ex1_1.xml
File: Loan_LCFeePay_ex1_2.xml
This example represents an L/C fee payment against a single standby letter of credit, LOC567. The ‘lcIssuanceFeePayment’ substitution event is used to communicate the payment through an lcNotification. The payment for $50.56 is effective as of 06/30/2014.
File: Loan_LCFeePay_ex2.xml
This example represents issuance of a standby letter of credit, LOC234. This new letter of credit in the amount of 100,000.00 is issued as of 11/12/2014.
File: Loan_LCIss_ex1.xml
This example represents issuance of a standby letter of credit, LOC567. The ‘lcIssuance’ substitution event communicates the issuance of a letter of credit in the amount of $60,000.00 effective 11/12/2014.
File: Loan_LCIss_ex2.xml
This example represents issuance of a trade letter of credit, LOC789. The ‘lcIssuance’ substitution event communicates the issuance of the new trade letter of credit in the amount of $500,000.00. $153,846.15 is the lender share amount for the letter of credit. 09/24/2014 is the effective date of the new letter of credit.
File: Loan_LCIss_ex3.xml
This example represents issuance of a standby letter of credit, LOC234, that includes a currency exchange, from EUR to USD. The ‘lcIssuance’ substitution event communicates the issuance of a new $900,000.00 EUR letter of credit, effective 09/29/2014. The rate of currency exchange is 1.2423 EUR per USD. An evergreen option is included in this notice, which allows the borrower to extend the letter of credit tenor. In this case, the evergreen example stipulates a 60-day non-renewal notice and an extension period of 1 year.
File: Loan_LCIss_ex4.xml
This message is sent from the agent to the lender to communicate a change in the foreign exchange rate for a synthetic letter of credit, LOC123. The rate is set on 12/19/2013 based on information from Bloomberg.
File: Loan_LCFxReval_ex1.xml
This notification communicates the rate change on a letter of credit effective 1/10/2014. The new rate is 3% for the Letter of Credit referenced, LOC567.
File: Loan_LCRtChg_ex1.xml
This message is sent from the administrative agent to the lender to communicate the renewal of a standby letter of credit, LOC234. It is assumed from the notice that all terms of the letter of credit remain the same as the previous agreement.
File: Loan_LCRenwl_ex1.xml
This notification communicates the termination of a letter of credit, effective 1/2/2014. This notice is sent by the administrative agent to the lender in regard to a standby letter of credit, LOC234.
File: Loan_LCTerm_ex1.xml
In Loan FpML v5.11, multiple servicing events can be combined within a single Loan Servicing Notification. Additionally, events across multiple facilities can be populated into the Loan Servicing Notification, and multiple events related to a single overarching parent event can be connected via the same parentEventIdentifier. This approach to combining events into a single notification represents a sort of ‘bulking’ approach to transmitting related events.
The scenarios below illustrate examples of appropriate use of the Loan Servicing Notification for ‘bulking’ servicing events together.
In this example, the administrative agent uses the Loan Servicing Notification to notify the lender of two payment events: one related to a loan contract and one related to the term loan B facility. Details of the events include the following:
The following identifiers are used within the notifications to represent different actors or structures (e.g. facility structure) related to the transaction:
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | US2A432121 | BANKOFAGENTSNA |
| Borrower | US3B789454 | BORROWERINC |
| Lender | US5L567878 | LENDERCORP |
| Facility | 123456ABC | TermLoanB |
| Loan Contract | LoanContract1** | LoanContract1 |
** NOTE: in this example the external identifier for the loan contract is the same as the internal identifier. Because there are no publicly-published loan contract identifiers, it may be likely that these identifiers would be identical in publication of this notification.
File: Loan_Bulk_ex100.xml
A rollover event provides a means for agent banks to communicate floating rate margin resets and/or re-definitions of the way in which outstanding contracts are structured. For example:
In Loan FpML v5.11, rollover-related events are described via a loan contract-level substitution group within the Loan Servicing Notification. This is a change from previous versions of FpML, and with v5.11 all substitution groups are now consistently organized by the level of structure. The concept of embedded events within other events has been removed from the schema. Rollover notifications no longer need embedded events, as the event identifier can connect these events with others within the substitution group.
Multiple events may relate to the same parent rollover event. As such, the messages within each scenario share the same parentEventIdentifier, detailed in the descriptions below. These parentEventIdentifier structures create a relationship between the events.
In this example, a maturing loan contract is rolling into a new loan contract. Additional information related to the base rate set activity (importantly, fixing date and effective date) for this rollover is also provided. Details about these events include:
The following identifiers are used within the notifications to represent different actors or structures (e.g. facility structure) related to the transaction:
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | US2A432121 | BANKOFAGENTSNA |
| Borrower | US3B789454 | BORROWERINC |
| Co-Borrower | US4C147258 | COBORROWERINC |
| Lender | US5L567878 | LENDERCORP |
| Facility | F123452TLA | FAC12345 |
| Maturing Loan Contract | CC1234 | CONT12345 |
| New Loan Contract | NC5678 | CONT67890 |
In this example, a maturing loan contract is rolling into a new loan contract. Additional information related an interest payment for interest owed on the maturing loan contract is also provided. Details about these events include:
The following identifiers are used within the notifications to represent different actors or structures (e.g. facility structure) related to the transaction:
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | US2A432121 | BANKOFAGENTSNA |
| Borrower | US3B789454 | BORROWERINC |
| Co-Borrower | US4C147258 | COBORROWERINC |
| Lender | US5L567878 | LENDERCORP |
| Facility | F123452TLA | FAC12345 |
| Maturing Loan Contract | CC1234 | CONT12345 |
| New Loan Contract | NC5678 | CONT67890 |
In this example, a single ABR contract is rolling over and an interest payment is made toward the maturing contract. Details about these events include:
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | US2A432121 | BANKOFAGENTSNA |
| Borrower | US3B789454 | BORROWERINC |
| Co-Borrower | US4C147258 | COBORROWERINC |
| Lender | US5L567878 | LENDERCORP |
| Facility | F123452TLA | FAC12345 |
| Maturing Loan Contract | CONT12345 | CC1234 |
| New Loan Contract | CONT67890 | NC5678 |
In this example, two LIBOR contracts are consolidated into a single LIBOR contract, with an interest payment made against each existing contract. Details about these events include:
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | US2A432121 | BANKOFAGENTSNA |
| Borrower | US3B789454 | BORROWERINC |
| Co-Borrower | US4C147258 | COBORROWERINC |
| Lender | US5L567878 | LENDERCORP |
| Facility | F123452TLA | FAC12345 |
| Maturing Loan Contract 1 | CONT12345 | CC1234 |
| Maturing Loan Contract 2 | CONT54321 | CC4321 |
| New Loan Contract | CONT67890 | NC5678 |
In this example, a single LIBOR contract is maturing and splitting into two new LIBOR contracts. An interest payment is made toward the maturing contract. Details about these events include:
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | US2A432121 | BANKOFAGENTSNA |
| Borrower | US3B789454 | BORROWERINC |
| Co-Borrower | US4C147258 | COBORROWERINC |
| Lender | US5L567878 | LENDERCORP |
| Facility | F123452TLA | FAC12345 |
| Maturing Loan Contract | CONT12345 | CC1234 |
| New Loan Contract 1 | CONT67890 | NC5678 |
| New Loan Contract 2 | CONT09876 | NC8765 |
In this example, a LIBOR contract is renewed and converted to PRIME, and a loan interest payment is made toward the maturing contract. Details about these events include:
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | US2A432121 | BANKOFAGENTSNA |
| Borrower | US3B789454 | BORROWERINC |
| Co-Borrower | US4C147258 | COBORROWERINC |
| Lender | US5L567878 | LENDERCORP |
| Facility | F123452TLA | FAC12345 |
| Maturing Loan Contract | CONT12345 | CC1234 |
| New Loan Contract 1 | CONT67890 | NC5678 |
| New Loan Contract 2 | CONT09876 | NC8765 |
In this example, a LIBOR contract matures and is partially repaid. An interest payment is made toward the LIBOR loan, and the remaining portion of the contract is renewed with a conversion to PRIME. Details about these events include:
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | US2A432121 | BANKOFAGENTSNA |
| Borrower | US3B789454 | BORROWERINC |
| Co-Borrower | US4C147258 | COBORROWERINC |
| Lender | US5L567878 | LENDERCORP |
| Facility | F123452TLA | FAC12345 |
| Maturing Loan Contract | CONT12345 | CC1234 |
| New Loan Contract | CONT67890 | NC5678 |
In this example, 2 LIBOR contracts are repricing (maturing) and an interest payment is made on each. Additionally, the 2 maturing contracts roll over, and one of the maturing LIBOR contracts splits into 2 new loan contracts. Details about these events include:
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | US2A432121 | BANKOFAGENTSNA |
| Borrower | US3B789454 | BORROWERINC |
| Co-Borrower | US4C147258 | COBORROWERINC |
| Lender | US5L567878 | LENDERCORP |
| Facility | F123999REV | FAC54321 |
| Maturing Loan Contract 1 | CONT12345 | CC1234 |
| Maturing Loan Contract 2 | CONT54321 | CC4321 |
| New Loan Contract 1 | CONT67890 | NC5678 |
| New Loan Contract 2 | CONT09876 | NC8765 |
| New Loan Contract 3 | CONT76543 | NC7654 |
In this example, a single LIBOR contract matures and the outstanding amount is increased, establishing a new LIBOR contract. An interest payment is made toward the maturing contract. Details about these events include:
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | US2A432121 | BANKOFAGENTSNA |
| Borrower | US3B789454 | BORROWERINC |
| Co-Borrower | US4C147258 | COBORROWERINC |
| Lender | US5L567878 | LENDERCORP |
| Facility | F123999REV | FAC54321 |
| Maturing Loan Contract | CONT12345 | CC1234 |
| New Loan Contract | CONT67890 | NC5678 |
In this example, a LIBOR contract matures and an interest payment is made. The maturing contract is partially repaid and the remainder is rolled over into a new LIBOR contract. Details about these events include:
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | US2A432121 | BANKOFAGENTSNA |
| Borrower | US3B789454 | BORROWERINC |
| Co-Borrower | US4C147258 | COBORROWERINC |
| Lender | US5L567878 | LENDERCORP |
| Facility | F123999REV | FAC54321 |
| Maturing Loan Contract | CONT12345 | CC1234 |
| New Loan Contract | CONT67890 | NC5678 |
In this example, a LIBOR F/X contract reprices and an interest payment is made. Details about these events include:
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | US2A432121 | BANKOFAGENTSNA |
| Borrower | US3B789454 | BORROWERINC |
| Co-Borrower | US4C147258 | COBORROWERINC |
| Lender | US5L567878 | LENDERCORP |
| Facility | F123999REV | FAC54321 |
| Maturing Loan Contract | CONT12345 | CC1234 |
| New Loan Contract | CONT67890 | NC5678 |
In this example, a LIBOR contract rolls, an interest payment and a partial principal repayment is made. Details about these events include:
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | US2A432121 | BANKOFAGENTSNA |
| Borrower | US3B789454 | BORROWERINC |
| Co-Borrower | US4C147258 | COBORROWERINC |
| Lender | US5L567878 | LENDERCORP |
| Facility | F123999REV | FAC54321 |
| Maturing Loan Contract | CONT12345 | CC1234 |
| New Loan Contract | CONT67890 | NC5678 |
In this example, a LIBOR F/X contract reprices, and an interest payment is made. Details about these events include:
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | US2A432121 | BANKOFAGENTSNA |
| Borrower | US3B789454 | BORROWERINC |
| Lender | US5L567878 | LENDERCORP |
| Facility | F123999REV | FAC54321 |
| Maturing Loan Contract | CONT12345 | CC1234 |
| New Loan Contract | CONT67890 | NC5678 |
In FpML version 5.11, the initiation of a loan trade, tasks that must be accomplished in relation to the trade, and events related to the trade level (not on an allocation-by-allocation basis) are described by the ‘loanTradeNotification’ (complex type: ‘LoanTradeNotification’). This notification type contains a substitution group for all trade-level events, as well as a structure for communicating tasks.
Upon allocation of the trade, all subsequent events and tasks are described by the ‘loanAllocation Notification’ (complex type: ‘LoanAllocationNotification’). Like the ‘loanTradeNotification,’ this notification type contains a substitution group for all allocation-level events and a structure for communicating allocation-level tasks.
In this scenario, the buyer purchases a $10MM facility commitment from the seller. The purchase is made at a price of 100 on 07/21/18.
The following identifiers are used within the notifications in Scenario 1 to represent different actors or structures (e.g. facility structure) related to the trade:
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Buyer | GB1L213246 | BANK12345 |
| Seller | US1LFM0001 | BANK67890 |
| Agent | US1LA00001 | AGENT24680 |
| Facility | CUSIP0001 | FAC12345 |
| Trade ID (Buyer) | [N/A] | TRD1 |
| Trade ID (Seller) | TN12345 | T1 |
| Trade ID (Agent) | [N/A] | TR1 |
| Trade Summary (Buyer) | [N/A] | TRADSUM1 |
| Trade Summary (Seller) | [N/A] | TRDSUM1 |
| Trade Summary (Agent) | [N/A] | TRDSM1 |
| Allocation ID (Buyer) | ALLOC1 | A1 |
| Allocation ID (Seller) | [N/A] | AL1 |
| Allocation ID (Agent) | [N/A] | ALC1 |
The initiation of the loan trade is represented by XML example ‘loan_trade_ex001.’
A full set of details about this trade are conveyed in the ‘loan_trade_ex001’ XML example. Details include:
File: loan_trade_ex001.xml
The following examples represent technical message handling notifications (not to be confused with business use case notifications), related to a recipient’s ability to process a message, or a sender’s desire to retract a message.
This message conveys acknowledgement of receipt and validity of form of the loan trade notification expressed by ‘loan_trade_001.’ It is based on the ‘loanNotificationAcknowledgement’ (complex type: ‘LoanNotificationAcknowledgement’) notification structure used to convey acknowledgement of any loan notification. It utilizes the ‘eventIdentifier’ of the original loan trade notification (‘eventId’ = US001) to associate the acknowledgement with the original trade notification.
Other details of note about this message include:
File: loan_trade_ex002.xml
This message conveys an exception issue with the loan trade notification. It is based on the ‘loanNotificationException’ (complex type: ‘LoanNotificationException’) notification structure used to convey exceptions with any loan notification. It utilizes the ‘eventIdentifier’ of the original loan trade notification (‘eventId’ = US001) to associate the exception issue with the original trade notification. Other details of note about this message include:
File: loan_trade_ex003.xml
This message conveys a retraction of the loan trade notification. It is based on the ‘loanNotificationRetracted’ (complex type: ‘LoanNotificationRetracted’) notification structure used to convey retractions of any loan notification. It utilizes the ‘eventIdentifier’ of the original loan trade notification (‘eventId’ = US001) to associate the acknowledgement with the original trade notification. Other details of note about this message include:
File: loan_trade_ex004.xml
The message is used to confirm the original trade initiation notification. It is based on the ‘loanTradeNotification,’ utilizing the ‘loanTradeConfirmation’ substitution event. It utilizes the buyer’s internal ‘eventIdentifier’ (‘eventId’ = GB001) to confirm the original trade notification. Other details of note about this message include:
File: loan_trade_ex005.xml
Much like message example ‘loan_trade_ex001,’ this message is used to communicate the initiation of a trade but is used to convey the trade initiation to an administrative agent. As such, and as is appropriate for the use case, the element ‘price,’ object ‘transferFee,’ and models ‘LoanTradingCounterpartyCashSettlementRules.model’ and ‘LoanTradingParticipationSettlementTerms.model,’ which appear on an optional sequence within the structure, have been omitted.
Other details of note about this message include:
File: loan_trade_ex006.xml
This message utilizes the ‘loanTradeNotification’ structure to communicate a settlement task, related to the trade, that must be completed before the trade is settled. In this example, the administrative agent is communicating with the buyer that it must allocate the trade, demonstrated by the ‘type’ element within the ‘settlementTask’ object, and the optional ‘comment’ of, “Please allocate trade.” Other details of note about this message include:
File: loan_trade_ex007.xml
This message utilizes the ‘loanAllocation Notification’ structure to communicate the allocation of a trade, communicated by buyer to seller. Other details of note about this message include:
File: loan_trade_ex008.xml
This message utilizes the ‘loanAllocationNotification’ structure to confirm the allocation notification sent in the previous example (loan_trade_ex008). The confirmation message is sent using the ‘loanAllocationConfirmation’ event in the ‘loanAllocationEventGroup’ substitution group.
Other details of note about this message include:
File: loan_trade_ex009.xml
This message utilizes the ‘loanAllocationNotification’ structure to convey an allocation-level settlement task that must be completed in order to settle the allocation. The message employs the ‘settlement Task’ element (complex type: LoanAllocationSettlementTask) to convey details of the task. Other details of note about this message include:
File: loan_trade_ex010.xml
This message describes the fee owed by the counterparties for settlement of the assignment, at an overarching trade level. If the administrative agent charges only a single fee for the assignment, regardless of the number of allocations, then usage of this message would be appropriate. The ‘loan TradeFeeOwed’ event structure within the ‘loanTradeNotification’ is employed for this purpose. Other details of note about this message include:
File: loan_trade_ex011.xml
This message described the fee owed by the counterparties for settlement of the assignment, at the specific allocation level. If the administrative agent charges an assignment fee on a per-allocation basis, then usage of this message would be appropriate. The ‘loanAllocationFeeOwed’ event structure within the ‘loanAllocationNotification’ is employed for this purpose. Other details of note about this message include:
File: loan_trade_ex012.xml
This message is used to convey information related to the date on which the sender may settle an assignment, expressed at the allocation level. The message utilizes the ‘loanAllocationSettlement DateAvailability’ event inside ‘loanAllocationNotification,’ and may be sent between trade counterparties or between counterparty and administrative agent. Other details of note about this message include:
File: loan_trade_ex013.xml
This message is used to convey information related to the date on which the sender may settle an assignment, expressed at the allocation level. The message utilizes the ‘loanAllocationSettlement DateFinalization’ event inside ‘loanAllocationNotification,’ and is sent by the administrative agent to the trade counterparties. Other details of note about this message include:
File: loan_trade_ex014.xml
This message utilizes the ‘loanTradeFeeDue’ element within the ‘loanTradeNotification’ and is used by the administrative agent to convey to trade counterparties that an assignment fee, at the trade level, is due. Other details of note about this message include:
File: loan_trade_ex015.xml
This message utilizes the ‘loanAllocationFeeDue’ event within the ‘loanAllocationNotification’ and is used by the administrative agent to convey to trade counterparties that an assignment fee, at the allocation level, is due. Other details of note about this message include:
File: loan_trade_ex016.xml
This message utilizes the ‘loanAllocationSettlement’ event within the ‘loanAllocationNotification’ and is used between counterparties, or by the administrative agent to counterparties, to formalize the settlement of the allocation. The sender may include outstandings position information in relation to the settled allocation with the ‘oustandingsPosition’ element. Other details of note about this message include:
File: loan_trade_ex017.xml
This message utilizes the ‘loanAllocationSettlement’ event within the ‘loanAllocationNotification’ and is used between counterparties to communicate the details of the allocation settlement, including settlement funding mechanics. As such, this message works similarly to a conventional funding memo. Other details of note about this message include:
File: loan_trade_ex018.xml
This example is structured similarly to Scenario 1. A few key differences are described below.
In the following loan trading scenario, the buyer counterparty purchases $5MM of a $1BN Term Loan B facility from the seller counterparty (who is also the administrative agent). The purchase is made at a price of 98 on 9/15/17. The buyer allocates to three sub entities (Senior Loan Fund I, Senior Loan Fund II, and CLO 2017-A).
This scenario provides several examples of the use of the loan trading notification structure to indicate ‘tasks’ that must be completed in order to settle the trade. Among these is are notifications indicating to the buyer that allocation of the trade must be completed, and that borrower consent to the trade is required. In both circumstances a follow-up notification is sent by the agent, referencing the task, to indicate that the task has been completed.
The following identifiers are used within the notifications in Scenario 2 to represent different actors or structures (e.g. facility structure) related to the trade:
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Buyer | EV1000001 | EatonVance |
| Seller | JPM001011 | JPMorganChase |
| Agent | JPM001011 | JPMorganChase |
| Borrower | AMZ1111111 | Amazon |
| Facility | CUSIP0001 | TermLoanB |
| Trade ID (Buyer) | [N/A] | EVLoanTrade1 |
| Trade ID (Seller) | TN12345 | LoanTrade1 |
| Trade Summary (Agent) | [N/A] | LoanTradeSummary1 |
| Allocation ID 1 (Buyer) | ALLOC1 | LoanAllocation1 |
| Allocation ID 2 (Buyer) | ALLOC2 | LoanAllocation2 |
| Allocation ID 3 (Buyer) | ALLOC3 | LoanAllocation3 |
| Allocation ID 1 (Agent) | [N/A] | JPLoanAllocation1 |
| Allocated Party 1 (Buyer) | SLFI100000 | SeniorLoanFundI |
| Allocated Party 2 (Buyer) | SLFII100000 | SeniorLoanFundII |
| Allocated Party 3 (Buyer) | CLO2017A111 | CLO2017-A |
Additional facility details include:
Facility: $1,000,000,000.00 Term Loan B
Facility Start Date: 1/1/2015
Facility Expiry Date: N/A
Facility Maturity Date: 1/1/2020
The chronological sequence of the notifications is as follows. Examples in this scenario are similar to examples in the ‘Loan_examples_Trading_Scenario_1_(v5.11)’ documentation:
File: loan_trade_ex100.xml
File: loan_trade_ex101.xml
File: loan_trade_ex102.xml
File: loan_trade_ex102.xml
File: loan_trade_ex104.xml
File: loan_trade_ex105.xml
File: loan_trade_ex106.xml
File: loan_trade_ex107.xml
File: loan_trade_ex108.xml
File: loan_trade_ex109.xml
File: loan_trade_ex110.xml
File: loan_trade_ex111.xml
File: loan_trade_ex112.xml
In the following loan trading scenario, the buyer counterparty (MEI = “US1L142580”) purchases $10MM of a Term Loan A facility from the seller counterparty (MEI = “GB1L104502”). The purchase is made at a price of 100 on 3/1/18.
The following identifiers are used within the notifications in Scenario 3 to represent different actors or structures (e.g. facility structure) related to the trade:
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Buyer | US1L142580 | US1L142580 |
| Seller | GB1L104502 | GB1L104502 |
| Agent | CH1L122575 | CH1L122575 |
| Facility | CUSIP1003 | CUSIP1003 |
| Trade ID (Buyer) | BBPLC_T_001 | T_USTRB_T_001 |
| Trade ID (Seller) | BBPLC_T_001 | T_BBPLC_T_001 |
| Trade ID (Agent) | BBPLC_T_001 | T_AGBTR_T_001 |
| Allocation ID 1 (Buyer) | 001 | A_001 |
| Allocation ID 2 (Buyer) | 002 | A_002 |
| Allocation ID 1 (Agent) | 001 | CH_001 |
| Allocated Party 1 (Buyer) | KY1L151440 | KY1L151440 |
| Allocated Party 2 (Buyer) | KY0M003Z48 | KY0M003Z48 |
File: loan_trade_ex201.xml
File: loan_trade_ex202.xml
File: loan_trade_ex203.xml
File: loan_trade_ex204.xml
File: loan_trade_ex205.xml
File: loan_trade_ex206.xml
File: loan_trade_ex207.xml
File: loan_trade_ex208.xml
File: loan_trade_ex209.xml
File: loan_trade_ex210.xml
File: loan_trade_ex211.xml
File: loan_trade_ex212.xml
File: loan_trade_ex213.xml
File: loan_trade_ex214.xml
** Note that several of the above notifications would also be sent in conjunction with the A_002 allocation.
The Deal Statement is sent between loan parties (e.g. trade counterparties, lenders, agents, issuing banks, etc.) to convey a full set of deal and facility definitions valid as of a specific date. The following scenario describes an appropriate use of the Deal Statement.
In this example, the agent is sending the Deal Statement to the lender to convey all facility commitments for a deal (DL198304). In this scenario, the Deal Statement communicates a Term Loan in the amount of $10,000,000.00. Details from the credit agreement, such as the rate and payment frequency, are stated. The party blocks at the end of the Deal Statement convey contact details for the deal.
The following identifiers are used within the statement example to represent different parties:
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | US2A432121 | BANKOFAGENTSNA |
| Lender | US5L567878 | LENDERCORP |
| Borrower | US3B789454 | BORROWERINC |
| Syndication Lead Bank | US4S126598 | SYNLEADBANK |
| Issuer Bank | US3I786123 | ISSUINGBANK |
| Deal | DL198304 | DL198 |
| Term Loan | TL159836 | TL15 |
The Facility Statement is sent between loan parties to communicate a single facility definition stated as of a certain date.
In this example, the administrative agent sends the lender a Facility Statement to convey details about a delayed draw term loan facility, effective 1/1/2016. The facility details, such as fixed rate and drawdown notice days, are communicated. Party contact information is stated at the end of the statement.
The following identifiers are used within the statement example to represent different parties:
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | US2A432121 | BANKOFAGENTSNA |
| Lender | US5L567878 | LENDERCORP |
| Borrower | US3B789454 | BORROWERINC |
| Co-Borrower | US3B789454 | COBORROWERINC |
| Deal | DL13578 | DL1357 |
| Delayed Draw Term Loan | DDFAC1357 | DDFAC13 |
In this example, the administrative agent sends the lender a Facility Statement to convey details about a term loan facility, effective 1/1/2014. The facility details, such as floating rate and payment frequency, are communicated. Party contact information is stated at the end of the statement.
The following identifiers are used within the statement example to represent different parties:
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | US2A432121 | BANKOFAGENTSNA |
| Lender | US5L567878 | LENDERCORP |
| Borrower | US3B789454 | BORROWERINC |
| Co-Borrower | US4C147258 | COBORROWERINC |
| Deal | DL24689 | DL2468 |
| Term Loan Facility | TLFAC2468 | T25 |
In this example, the administrative agent sends a lender the Facility Position Statement to communicate the commitment amounts for a single facility at the global and lender position levels, on a specific date.
The following identifiers are used within the statement example to represent different parties:
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | US2A432121 | BANKOFAGENTSNA |
| Lender | US5L567878 | LENDERCORP |
| Borrower | US3B789454 | BORROWERINC |
| Deal | Deal1234 | DL123 |
| Term Loan Facility | F123452TLA | FAC1234 |
This statement example communicates an outstanding loan contract, related to a Term Loan A facility. The loan contract is effective as of 12/1/2013 and matures on 8/1/2014. Contact information for both the agent and the lender are included.
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | US2A432121 | BANKOFAGENTSNA |
| Lender | US5L567878 | LENDERCORP |
| Borrower | US3B789454 | BORROWERINC |
| Loan Contract | CN1234 | LCON123 |
| Facility | F123452TLA | FAC12345 |
This statement is sent from the agent to the lender to communicate an outstanding letter of credit. The letter of credit, in the amount of $10MM, is effective as of 5/1/2014. An accrual schedule is stated in the statement.
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | US2A432121 | BANKOFAGENTSNA |
| Lender | US5L567878 | LENDERCORP |
| Issuing Bank | US6I874125 | ISSUINGBANK |
| Borrower | US3B789454 | BORROWERINC |
| Letter of Credit | LetterOfCredit123 | SLOC123 |
| Facility | F123452TLA | FAC12345 |
The Loan Party Profile Statement is sent between loan parties (e.g. trade counterparties, lenders, agents, issuing banks, etc.) to convey information related to communication and settlement of loan transactions. The following scenario describes an appropriate use of the Loan Party Profile Statement.
In this example, the buyer from the Trading Example Scenario 1 submits its Loan Party Profile Statement to the agent to communicate the critical details related to settlement of all events. In Loan FpML v5.11, the ‘applicableAssets’ and ‘applicableTransactions’ elements are required, with the option to choose specific assets or transactions, or all.
The following identifiers are used within the statement example to represent different parties:
| Actor / Structure | External Identifier | Attribute ID (Internal Identifier) |
| Agent | N/A** | JPMorganChase |
| Lender | EV1000001 | EatonVance |
**NOTE: unlike in the loan servicing notification examples, the administrative agent is the recipient of the Loan Party Profile Statement and is not described at any point within the body of the statement.
This section contains examples of FpML trades for Commodity Derivative products. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
FpML File: com-ex1-gas-swap-daily-delivery-prices-last.xml
ISDA Confirm: com-ex1-gas-swap-daily-delivery-prices-last-day.pdf
27 June 06: Party A buys from Party B a July '06 floating swap on Henry Hub Nymex at USD 6.2950/MMBTU for 2,500 MMBTU/cal day. The terms of the agreement are:
Assumptions made regarding the contractual relationship between the parties for the purpose of this example only:
FpML File: com-ex2-gas-swap-prices-first-day.xml
ISDA Confirm: com-ex2-gas-swap-prices-first-day.pdf
26 June 06: Party A buys from Party B a September '06 floating swap on CGPR AECO C/NIT (US$/MMBTU) at USD 5.55/MMBTU for 5,000 MMBTU. The terms of the agreement are:
Assumptions made regarding the contractual relationship between the parties for the purpose of this example only:
FpML File: com-ex2-gas-swap-prices-first-day.xml
ISDA Confirm: com-ex3-gas-swap-prices-last-three-days.pdf
24 August 06: Party A buys from Party B a cal '09 floating swap on Henry Hub Nymex at USD 9.64/MMBTU for 5,000 MMBTU/cal day. The terms of the agreement are:
Assumptions made regarding the contractual relationship between the parties for the purpose of this example only:
FpML File: com-ex4-electricity-swap-hourly-off-peak.xml
ISDA Confirm: com-ex4-electricity-swap-hourly-off-peak.pdf
FpML File: com-ex5-gas-v-electricity-spark-spread.xml
ISDA Confirm: com-ex5-gas-v-electricity-spark-spread.pdf
FpML File: com-ex6-gas-call-option.xml
ISDA Confirm: com-ex6-gas-call-option.pdf
FpML File: com-ex7-gas-put-option.xml
ISDA Confirm: com-ex7-gas-put-option.pdf
FpML File: com-ex8-oil-call-option-strip.xml
ISDA Confirm: com-ex8-oil-call-option-strip.pdf
FpML File: com-ex10-physical-oil-pipeline-crude-wti-floating-price.xml
ISDA Confirm: com-ex10-physical-oil-pipeline-crude-wti-floating-price (ISDA or LEAP).pdf
FpML File: com-ex11-physical-oil-pipeline-heating-oil-fixed-price.xml
ISDA Confirm: com-ex11-physical-oil-pipeline-heating-oil-fixed-price (ISDA or LEAP).pdf
FpML File: com-ex12-physical-gas-europe-zbt-fixed-price.xml
ISDA Confirm: com-ex12-physical-gas-europe-zbt-fixed-price (ISDA).pdf
FpML File: com-ex13-physical-gas-us-tw-west-texas-pool-floating-price-4-days.xml
ISDA Confirm: com-ex13-physical-gas-us-tw-west-texas-pool-floating-price-4-days (ISDA).pdf
FpML File: com-ex14-physical-gas-europe-ttf-fixed-price.xml
ISDA Confirm: com-ex14-physical-gas-europe-ttf-fixed-price (EFET).pdf
FpML File: com-ex15-physical-oil-pipeline-crude-wcs-fixed-price.xml
ISDA Confirm: com-ex15-physical-oil-pipeline-crude-wcs-fixed-price (other docs).pdf
FpML File: com-ex16-physical-power-us-eei-floating-price.xml
ISDA Confirm: com-ex16-physical-power-us-eei-floating-price.pdf
FpML File: com-ex17-physical-power-uk-gtma-fixed-price.xml
ISDA Confirm: com-ex17-physical-power-uk-gtma-fixed-price.pdf
FpML File: com-ex18-physical-power-us-eei-fixed-price-shaped-volume.xml
ISDA Confirm: com-ex18-physical-power-us-eei-fixed-price-shaped-volume.pdf
FpML File: com-ex20-physical-coal-us-fixed-price.xml
FpML File: com-ex20-physical-coal-us-fixed-price.pdf
FpML File: com-ex21-physical-power-us-eei-fixed-price-shaped-volume-and-price.xml
FpML File: com-ex21-physical-power-us-eei-fixed-price-shaped-volume-and-price.pdf
FpML File: com-ex22-physical-gas-option-multiple-expiration.xml
ISDA Confirm: com-ex22-physical-gas-option-multiple-expiration.pdf
FpML File: com-ex23-physical-power-option-daily-expiration-efet.xml
EFET Confirm: com-ex23-physical-power-option-daily-expiration-efet.pdf
FpML File: com-ex24-weather-index-swap.xml
Confirm: com-ex24-CDD-weather-index-swap.pdf
FpML File: com-ex26-physical-metal-forward.xml
Confirm: com-ex26-physical-metal-forward.pdf
FpML File: com-ex27-wti-put-option-asian-listedoption-date.xml
Calendar Source will allow the description of price observations based on a related product calendar.
e.g. Calendar of the WTI NYMEX Listed Option which is based on the WTI NYMEX Futures contract as defined by OIL-WTI-NYMEX.
Alternately, we can not list the calendarSource or explicitly describe the pricing dates to be based off the futures contract with: Future
FpML File: com-ex28-gas-swap-daily-delivery-prices-option-last.xml
Calendar Source will allow the description of price observations based on a related product calendar.
e.g. Calendar of the Henry Hub NAT GAS Listed Option which is based on the NYMEX NAT GAS Futures contract as defined by NATURAL GAS-HENRY HUB-NYMEX.
FpML File: com-ex29-physical-eu-emissions-option.xml
FpML File: com-ex30-physical-eu-emissions-forward.xml
FpML File: com-ex31-physical-us-emissions-option.xml
FpML File: com-ex32-CPD-weather-option.xml
Confirm: com-ex32-CPD-weather-option.pdf
FpML File: com-ex34-gas-put-option-european-floating-strike.xml
Confirm: com-ex34-gas-put-option-european-floating-strike.pdf
FpML File: com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.xml
Confirm: com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.pdf
FpML File: com-ex37-gold-forward-offered-rate.xml
Gold Metal Lease Interest Rate Swap
Lease will be on 100ozt of Gold for a period of one year
Quarterly Calculations
Fixed Rate of -0.01%
Floating rate of 3 Month Libor - GOFO
Representation is 3 Month Libor vs. GOFO - 0.01%
FpML File: com-ex39-basket-option-confirmation.xml
FpML File: com-ex40-gas-digital-option-storage-volume-trigger.xml
Confirm: com-ex40-gas-digital-option-storage-volume-trigger.pdf
FpML File: com-ex41-oil-asian-barrier-option-strip.xml
FpML File: com-ex42-index-return-swap-reinvestment-feature.xml
Confirm: com-ex42-index-return-swap-reinvestment-feature.pdf
FpML File: com-ex43-WTI-variance-swap.xml
Confirm: com-ex43-WTI-variance-swap.pdf
FpML File: com-ex45-ag-variance-swap.xml
Confirm: com-ex45-ag-variance-swap.pdf
FpML File: com-ex46-simple-financial-put-option.xml
This section contains examples of FpML trades for Repo and Security Lending products. Each example illustrates how different product features are modeled in FpML.
The sample xml documents are available for download from the fpml.org website.
FpML File: repo-ex01-repo-fixed-rate.xml
Confirm: repo-ex01-repo-fixed-rate-p1.pdf
Confirm: repo-ex01-repo-fixed-rate-p2.pdf
FpML File: repo-ex02-repo-open-fixed-rate.xml
Confirm: repo-ex02-repo-open-fixed-rate.pdf
FpML File: repo-ex03-repo-fixed-rate
Confirm: repo-ex03-repo-fixed-rate.pdf
FpML File: repo-ex04-repo-floating-rate.xml
Confirm: repo-ex04-repo-floating-rate.pdf
FpML File: repo-ex05-repo-fixed-rate.xml
Confirm: repo-ex05-repo-fixed-rate.pdf
FpML File: repo-ex06-repo-fixed-rate.xml
Confirm: repo-ex06-repo-fixed-rate.pdf