interchange-schema-registry
Version:
A Global Schema Registry for Data Interchange formats
187 lines (186 loc) • 8.38 kB
text/xml
<!--View is confirmation-->
<!--Version is 5-10-->
<!--NS is http://www.fpml.org/FpML-5/confirmation-->
<!--View is confirmation-->
<!--Version is 5-5-->
<!--NS is http://www.fpml.org/FpML-5/confirmation-->
<!--
== Copyright (c) 2014-2018 All rights reserved.
== Financial Products Markup Language is subject to the FpML public license.
== A copy of this license is available at http://www.fpml.org/license/license.html
-->
<executionNotification
xmlns="http://www.fpml.org/FpML-5/confirmation"
xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
fpmlVersion="5-10"
xsi:schemaLocation="http://www.fpml.org/FpML-5/confirmation ../../fpml-main-5-10.xsd http://www.w3.org/2000/09/xmldsig# ../../xmldsig-core-schema.xsd"
>
<header>
<messageId messageIdScheme="http://www.clearinghouse.com/messageId/OTC">112</messageId>
<sentBy messageAddressScheme="http://www.clearinghouse.com/partyId">CLEARING_HOUSE</sentBy>
<sendTo>Party A</sendTo>
<creationTimestamp>2000-08-26T14:57:00Z</creationTimestamp>
</header>
<isCorrection>false</isCorrection>
<correlationId correlationIdScheme="http://www.PartyA.com/schemes/correlation-id">CORR019</correlationId>
<sequenceNumber>2</sequenceNumber>
<optionExercise>
<tradeIdentifier>
<partyReference href="party1" />
<tradeId tradeIdScheme="http://www.PartyA.com/tradeId/OTC">1234</tradeId>
</tradeIdentifier>
<exerciseDate>2008-09-26</exerciseDate>
<exerciseTime>12:00:00</exerciseTime>
<exerciseAction>FullExercise</exerciseAction>
<physicalSettlement>
<swap>
<!-- Party A pays the floating rate every 6 months, based on 6M EUR-LIBOR-BBA,
on an ACT/360 basis -->
<swapStream>
<payerPartyReference href="party1" />
<receiverPartyReference href="party2" />
<calculationPeriodDates id="floatingCalcPeriodDates">
<effectiveDate>
<unadjustedDate>1994-12-14</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<terminationDate>
<unadjustedDate>1999-12-14</unadjustedDate>
<dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters id="primaryBusinessCenters">
<businessCenter>DEFR</businessCenter>
</businessCenters>
</dateAdjustments>
</terminationDate>
<calculationPeriodDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference href="primaryBusinessCenters" />
</calculationPeriodDatesAdjustments>
<calculationPeriodFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
<rollConvention>14</rollConvention>
</calculationPeriodFrequency>
</calculationPeriodDates>
<paymentDates>
<calculationPeriodDatesReference href="floatingCalcPeriodDates" />
<paymentFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
</paymentFrequency>
<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
<paymentDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference href="primaryBusinessCenters" />
</paymentDatesAdjustments>
</paymentDates>
<resetDates id="resetDates">
<calculationPeriodDatesReference href="floatingCalcPeriodDates" />
<resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
<fixingDates>
<periodMultiplier>-2</periodMultiplier>
<period>D</period>
<dayType>Business</dayType>
<businessDayConvention>NONE</businessDayConvention>
<businessCenters>
<businessCenter>GBLO</businessCenter>
</businessCenters>
<dateRelativeTo href="resetDates" />
</fixingDates>
<resetFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
</resetFrequency>
<resetDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference href="primaryBusinessCenters" />
</resetDatesAdjustments>
</resetDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule>
<notionalStepSchedule>
<initialValue>50000000.00</initialValue>
<currency currencyScheme="http://www.fpml.org/coding-scheme/external/iso4217">EUR</currency>
</notionalStepSchedule>
</notionalSchedule>
<floatingRateCalculation>
<floatingRateIndex>EUR-LIBOR-BBA</floatingRateIndex>
<indexTenor>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
</indexTenor>
</floatingRateCalculation>
<dayCountFraction>ACT/360</dayCountFraction>
</calculation>
</calculationPeriodAmount>
</swapStream>
<!-- Barclays pays the 6% fixed rate every year on a 30E/360 basis -->
<swapStream>
<payerPartyReference href="party2" />
<receiverPartyReference href="party1" />
<calculationPeriodDates id="fixedCalcPeriodDates">
<effectiveDate>
<unadjustedDate>1994-12-14</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<terminationDate>
<unadjustedDate>1999-12-14</unadjustedDate>
<dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference href="primaryBusinessCenters" />
</dateAdjustments>
</terminationDate>
<calculationPeriodDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference href="primaryBusinessCenters" />
</calculationPeriodDatesAdjustments>
<calculationPeriodFrequency>
<periodMultiplier>1</periodMultiplier>
<period>Y</period>
<rollConvention>14</rollConvention>
</calculationPeriodFrequency>
</calculationPeriodDates>
<paymentDates>
<calculationPeriodDatesReference href="fixedCalcPeriodDates" />
<paymentFrequency>
<periodMultiplier>1</periodMultiplier>
<period>Y</period>
</paymentFrequency>
<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
<paymentDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference href="primaryBusinessCenters" />
</paymentDatesAdjustments>
</paymentDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule>
<notionalStepSchedule>
<initialValue>50000000.00</initialValue>
<currency currencyScheme="http://www.fpml.org/coding-scheme/external/iso4217">EUR</currency>
</notionalStepSchedule>
</notionalSchedule>
<fixedRateSchedule>
<initialValue>0.06</initialValue>
</fixedRateSchedule>
<dayCountFraction>30E/360</dayCountFraction>
</calculation>
</calculationPeriodAmount>
</swapStream>
</swap>
</physicalSettlement>
</optionExercise>
<party id="party1">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/dummy-party-id">Party A</partyId>
</party>
<party id="party2">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/dummy-party-id">Party B</partyId>
</party>
</executionNotification>