InterestLeg

A type describing the fixed income leg of the equity swap.

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Field	Type	Description	Print form title	FFSM title	Properties	Conditions
@id	xsd:ID				1-1, ncf
legIdentifier	LegIdentifier	Version aware identification of this leg.	Leg identifier.		0-∞, ncf
payerPartyReference	PartyReference	A reference to the party responsible for making the payments defined by this structure.	Payer.	Party code.	0-1, mre, mfr
payerAccountReference	AccountReference	A reference to the account of the payer party (specified by payerPartyReference) responsible for making the payments defined by this structure.	Payer's account.	Party's client.	0-1, ncf	At the first stage this element is not used in the repository messages.
receiverPartyReference	PartyReference	A reference to the party that receives the payments corresponding to this structure.	Receiver.	Party code.	0-1, mre, mfr
receiverAccountReference	AccountReference	A reference to the account of the receiver party (specified by receiverPartyReference) that receives the payments corresponding to this structure.	Receiver's account.	Party's client.	0-1, ncf	At the first stage this element is not used in the repository messages.
effectiveDate	AdjustableOrRelativeDate	Specifies the effective date of this leg of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDate component), this element will typically point to the effective date of the other leg of the swap.	Effective date.	Effective date / Start date.	0-1, ncf
terminationDate	AdjustableOrRelativeDate	Specifies the termination date of this leg of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDate component), this element will typically point to the termination date of the other leg of the swap.	Termination date.	Termination date.	0-1, ncf
interestLegCalculationPeriodDates	InterestLegCalculationPeriodDates	Component that holds the various dates used to specify the interest leg of the equity swap. It is used to define the InterestPeriodDates identifyer.	Interest leg calculation period dates.		1-1, mre
notional	ReturnSwapNotional	Specifies the notional of a return type swap. When used in the equity leg, the definition will typically combine the actual amount (using the notional component defined by the FpML industry group) in case of known notional and the determination method in case of forward swaps which notional is not known on trade date. When used in the interest leg, the definition will typically point to the definition of the equity leg.	Notional amount.		1-1, mre
interestAmount	LegAmount	Specifies, in relation to each Interest Payment Date, the amount to which the Interest Payment Date relates. Unless otherwise specified, this term has the meaning defined in the ISDA 2000 ISDA Definitions.	Interest amount.		0-1, ncf
interestCalculation	InterestCalculation	Specifies the calculation method of the interest rate leg of the equity swap. Includes the floating or fixed rate calculation definitions, along with the determination of the day count fraction.	Interest calculation.		1-1, mre
stubCalculationPeriod	StubCalculationPeriod	Specifies the stub calculation period.	Stub calculation period.		0-1, ncf

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InterestLeg

payerPartyReference(PartyReference)

	A reference to the party responsible for making the payments defined by this structure.
	Party code.

receiverPartyReference(PartyReference)

	A reference to the party that receives the payments corresponding to this structure.
	Party code.

interestLegCalculationPeriodDates(InterestLegCalculationPeriodDates)

	Component that holds the various dates used to specify the interest leg of the equity swap. It is used to define the InterestPeriodDates identifyer.

interestLegResetDates(InterestLegResetDates)

Specifies the reset dates of the interest leg of the swap.

A choice of the reset dates specification.

resetFrequency(ResetFrequency)

	The frequency at which reset dates occur. In the case of a weekly reset frequency, also specifies the day of the week that the reset occurs. If the reset frequency is greater than the calculation period frequency then this implies that more than one reset date is established for each calculation period and some form of rate averaging is applicable.

periodMultiplier(positiveInteger)

	A time period multiplier, e.g. 1, 2 or 3 etc. If the period value is T (Term) then periodMultiplier must contain the value 1.

period(PeriodExtendedEnum)

	A time period, e.g. a day, week, month, year or term of the stream.
	T;

interestLegPaymentDates(AdjustableRelativeOrPeriodicDates2)

Specifies the payment dates of the interest leg of the swap. When defined in relation to a date specified somewhere else in the document (through the relativeDates component), this element will typically point to the payment dates of the equity leg of the swap.

A choice of the dates specification.

adjustableDates(AdjustableDates)

	A series of dates that shall be subject to adjustment if they would otherwise fall on a day that is not a business day in the specified business centers, together with the convention for adjusting the date.

unadjustedDate(IdentifiedDate)

	A date subject to adjustment.

notional(ReturnSwapNotional)

Specifies the notional of a return type swap. When used in the equity leg, the definition will typically combine the actual amount (using the notional component defined by the FpML industry group) in case of known notional and the determination method in case of forward swaps which notional is not known on trade date. When used in the interest leg, the definition will typically point to the definition of the equity leg.

A choice of the notional amount specification.

notionalAmount(NotionalAmount)

	The notional amount. This is a component to specify an actual amount and currency. This is used most often for the equity leg of the swap.
	Notional amount on the first settlement date.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(NonNegativeDecimal)

	The non negative monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.
	Total payment.
	[0;

interestCalculation(InterestCalculation)

	Specifies the calculation method of the interest rate leg of the equity swap. Includes the floating or fixed rate calculation definitions, along with the determination of the day count fraction.

A choice of the interest rate type.

floatingRateCalculation(FloatingRateCalculation)

	The floating rate calculation definitions.

floatingRateIndex(FloatingRateIndex)

	Defines floating rate index.
	Float rate code.

indexTenor(Period)

The ISDA Designated Maturity, i.e. the tenor of the floating rate.

periodMultiplier(integer)

	A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days.

period(PeriodEnum)

	A time period, e.g. a day, week, month or year of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).
	D;W;M;Y;

floatingRateMultiplierSchedule(Schedule)

A rate multiplier or multiplier schedule to apply to the floating rate. A multiplier schedule is expressed as explicit multipliers and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in the calculationPeriodDatesAdjustments. The multiplier can be a positive or negative decimal. This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.

initialValue(decimal)

	The initial rate or amount, as the case may be. An initial rate of 5% would be represented as 0.05.

step(Step)

	The schedule of step date and value pairs. On each step date the associated step value becomes effective. A list of steps may be ordered in the document by ascending step date. An FpML document containing an unordered list of steps is still regarded as a conformant document.

stepDate(date)

	The date on which the associated stepValue becomes effective. This day may be subject to adjustment in accordance with a business day convention.

stepValue(decimal)

	The rate or amount which becomes effective on the associated stepDate. A rate of 5% would be represented as 0.05.

spreadSchedule(SpreadSchedule)

The ISDA Spread or a Spread schedule expressed as explicit spreads and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. The spread is a per annum rate, expressed as a decimal. For purposes of determining a calculation period amount, if positive the spread will be added to the floating rate and if negative the spread will be subtracted from the floating rate. A positive 10 basis point (0.1%) spread would be represented as 0.001.

initialValue(decimal)

	The initial rate or amount, as the case may be. An initial rate of 5% would be represented as 0.05.

step(Step)

	The schedule of step date and value pairs. On each step date the associated step value becomes effective. A list of steps may be ordered in the document by ascending step date. An FpML document containing an unordered list of steps is still regarded as a conformant document.

stepDate(date)

	The date on which the associated stepValue becomes effective. This day may be subject to adjustment in accordance with a business day convention.

stepValue(decimal)

	The rate or amount which becomes effective on the associated stepDate. A rate of 5% would be represented as 0.05.

capRateSchedule(StrikeSchedule)

	The cap rate or cap rate schedule, if any, which applies to the floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain strike level. A cap rate schedule is expressed as explicit cap rates and dates and the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.
	Cap rate.

initialValue(decimal)

	The initial rate or amount, as the case may be. An initial rate of 5% would be represented as 0.05.

step(Step)

	The schedule of step date and value pairs. On each step date the associated step value becomes effective. A list of steps may be ordered in the document by ascending step date. An FpML document containing an unordered list of steps is still regarded as a conformant document.

stepDate(date)

	The date on which the associated stepValue becomes effective. This day may be subject to adjustment in accordance with a business day convention.

stepValue(decimal)

	The rate or amount which becomes effective on the associated stepDate. A rate of 5% would be represented as 0.05.

floorRateSchedule(StrikeSchedule)

	The floor rate or floor rate schedule, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. A floor rate schedule is expressed as explicit floor rates and dates and the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.
	Floor rate.

initialValue(decimal)

	The initial rate or amount, as the case may be. An initial rate of 5% would be represented as 0.05.

step(Step)

	The schedule of step date and value pairs. On each step date the associated step value becomes effective. A list of steps may be ordered in the document by ascending step date. An FpML document containing an unordered list of steps is still regarded as a conformant document.

stepDate(date)

	The date on which the associated stepValue becomes effective. This day may be subject to adjustment in accordance with a business day convention.

stepValue(decimal)

	The rate or amount which becomes effective on the associated stepDate. A rate of 5% would be represented as 0.05.

initialRate(decimal)

The initial floating rate reset agreed between the principal parties involved in the trade. This is assumed to be the first required reset rate for the first regular calculation period. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. An initial rate of 5% would be represented as 0.05.

fixedRate(decimal)

	The calculation period fixed rate. A per annum rate, expressed as a decimal. A fixed rate of 5% would be represented as 0.05.

dayCountFraction(DayCountFraction)

	Defines the day count fraction.