interchange-schema-registry
Version:
A Global Schema Registry for Data Interchange formats
403 lines (402 loc) • 17.9 kB
text/xml
<!--View is confirmation-->
<!--Version is 5-10-->
<!--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
-->
<!--5.0:Message type is a Root of the message-->
<!--5.0 Messaging: changed <tradeConfirmed > -><confirmationAgreed>-->
<confirmationAgreed
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>
<!--FpML 5.0: Removed "conversationId", replaced by "conversationId"-->
<!--conversationId conversationIdScheme="http://www.example.com/conversationId">CS/2006/07/02/32-09</conversationId-->
<messageId messageIdScheme="http://www.example.com/messageId">MS/2006/07/07/15-99</messageId>
<!--inReplyTo changed from being optional to required-->
<inReplyTo messageIdScheme="http://www.example.com/messageId">MS/2006/07/03/15-91</inReplyTo>
<sentBy>PARTYABICXXX</sentBy>
<sendTo>PARTYBBICXXX</sendTo>
<creationTimestamp>2006-07-02T16:38:00+05:00</creationTimestamp>
</header>
<!--5.0 Messaging: added
<correlationId>
<sequenceNumber>
-->
<correlationId correlationIdScheme="http://www.example.com/correlationId">CS/2006/07/02/32-09</correlationId>
<sequenceNumber>6</sequenceNumber>
<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="party1" />
<tradeId tradeIdScheme="http://www.partyA.com/eqs-trade-id">1234</tradeId>
</partyTradeIdentifier>
<partyTradeIdentifier>
<partyReference href="party2" />
<tradeId tradeIdScheme="http://http://www.partyB.com/eqs-trade-id">5678</tradeId>
</partyTradeIdentifier>
<tradeDate id="TradeDate">2002-07-17</tradeDate>
</tradeHeader>
<returnSwap>
<productType>Equity:Swap:PriceReturnBasicPerformance:Basket</productType>
<returnLeg>
<payerPartyReference href="party1" />
<receiverPartyReference href="party2" />
<effectiveDate id="EffectiveDate">
<adjustableDate>
<unadjustedDate>2002-07-20</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</effectiveDate>
<terminationDate id="TerminationDate">
<adjustableDate>
<unadjustedDate>2004-07-20</unadjustedDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>EUTA</businessCenter>
<businessCenter>GBLO</businessCenter>
</businessCenters>
</dateAdjustments>
</adjustableDate>
</terminationDate>
<underlyer>
<basket>
<openUnits>1</openUnits>
<basketConstituent>
<bond>
<instrumentId instrumentIdScheme="http://www.abc.com/instrument-id-ISIN-1-0">67812345</instrumentId>
<description>Telecom Italia spa</description>
<currency>EUR</currency>
<exchangeId exchangeIdScheme="http://www.abc.com/exchangeId">XMIL</exchangeId>
</bond>
<constituentWeight>
<openUnits>432000</openUnits>
</constituentWeight>
</basketConstituent>
<basketConstituent>
<bond>
<instrumentId instrumentIdScheme="http://www.abc.com/instrument-id-ISIN-1-0">56781234</instrumentId>
<description>Nokya Oyj</description>
<currency>EUR</currency>
<exchangeId exchangeIdScheme="http://www.abc.com/4.0/exchangeId">XHEL</exchangeId>
</bond>
<constituentWeight>
<openUnits>227000</openUnits>
</constituentWeight>
</basketConstituent>
<basketConstituent>
<bond>
<instrumentId instrumentIdScheme="http://www.abc.com/instrument-id-ISIN-1-0">45678123</instrumentId>
<description>Telecom Italia Mobile spa</description>
<currency>EUR</currency>
<exchangeId exchangeIdScheme="http://www.abc.com/exchangeId">XMIL</exchangeId>
</bond>
<constituentWeight>
<openUnits>783000</openUnits>
</constituentWeight>
</basketConstituent>
<basketConstituent>
<bond>
<instrumentId instrumentIdScheme="http://www.abc.com/instrument-id-ISIN-1-0">34567812</instrumentId>
<description>Telefonica de Espana</description>
<currency>EUR</currency>
<exchangeId exchangeIdScheme="http://www.abc.com/exchangeId">XMAD</exchangeId>
</bond>
<constituentWeight>
<openUnits>344000</openUnits>
</constituentWeight>
</basketConstituent>
<basketConstituent>
<bond>
<instrumentId instrumentIdScheme="http://www.abc.com/instrument-id-ISIN-1-0">23456781</instrumentId>
<description>Portugal Telecom SA</description>
<currency>EUR</currency>
<exchangeId exchangeIdScheme="http://www.abc.com/exchangeId">XCVM</exchangeId>
</bond>
<constituentWeight>
<openUnits>340000</openUnits>
</constituentWeight>
</basketConstituent>
<basketConstituent>
<bond>
<instrumentId instrumentIdScheme="http://www.abc.com/instrument-id-ISIN-1-0">12345678</instrumentId>
<description>Vodafone Group</description>
<currency>GBP</currency>
<exchangeId exchangeIdScheme="http://www.abc.com/exchangeId">XLON</exchangeId>
</bond>
<constituentWeight>
<openUnits>2486000</openUnits>
</constituentWeight>
</basketConstituent>
<basketConstituent>
<index>
<instrumentId instrumentIdScheme="http://www.bloomberg.com">MSCIWGBI</instrumentId>
<description>MSCI World Government Bond Index.</description>
<currency>USD</currency>
</index>
</basketConstituent>
</basket>
</underlyer>
<rateOfReturn>
<initialPrice>
<determinationMethod>CalculationAgent</determinationMethod>
<valuationRules>
<valuationDate>
<relativeDateSequence>
<dateRelativeTo href="EffectiveDate" />
<dateOffset>
<periodMultiplier>0</periodMultiplier>
<period>D</period>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateOffset>
</relativeDateSequence>
</valuationDate>
<valuationTimeType>Close</valuationTimeType>
</valuationRules>
</initialPrice>
<notionalReset>true</notionalReset>
<valuationPriceInterim>
<determinationMethod>ValuationTime</determinationMethod>
<valuationRules>
<valuationDates id="InterimValuationDates">
<adjustableDates>
<unadjustedDate>2002-07-26</unadjustedDate>
<unadjustedDate>2002-08-28</unadjustedDate>
<unadjustedDate>2002-09-26</unadjustedDate>
<unadjustedDate>2002-10-27</unadjustedDate>
<unadjustedDate>2002-11-28</unadjustedDate>
<unadjustedDate>2002-12-26</unadjustedDate>
<unadjustedDate>2003-01-29</unadjustedDate>
<unadjustedDate>2003-02-26</unadjustedDate>
<unadjustedDate>2003-03-26</unadjustedDate>
<unadjustedDate>2003-04-28</unadjustedDate>
<unadjustedDate>2003-05-28</unadjustedDate>
<unadjustedDate>2003-06-26</unadjustedDate>
<unadjustedDate>2003-07-29</unadjustedDate>
<unadjustedDate>2003-08-27</unadjustedDate>
<unadjustedDate>2003-09-26</unadjustedDate>
<unadjustedDate>2003-10-29</unadjustedDate>
<unadjustedDate>2003-11-26</unadjustedDate>
<unadjustedDate>2003-12-29</unadjustedDate>
<unadjustedDate>2004-01-28</unadjustedDate>
<unadjustedDate>2004-02-25</unadjustedDate>
<unadjustedDate>2004-03-26</unadjustedDate>
<unadjustedDate>2004-04-28</unadjustedDate>
<unadjustedDate>2004-05-27</unadjustedDate>
<unadjustedDate>2004-06-28</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDates>
</valuationDates>
<valuationTimeType>Close</valuationTimeType>
</valuationRules>
</valuationPriceInterim>
<valuationPriceFinal>
<determinationMethod>HedgeExecution</determinationMethod>
<valuationRules>
<valuationDate id="FinalValuationDate">
<adjustableDate>
<unadjustedDate>2004-07-15</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</valuationDate>
</valuationRules>
</valuationPriceFinal>
<paymentDates id="EquityPaymentDate">
<paymentDatesInterim id="InterimEquityPaymentDate">
<relativeDates>
<periodMultiplier>3</periodMultiplier>
<period>D</period>
<dayType>Calendar</dayType>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters id="primaryBusinessCenter">
<businessCenter>EUTA</businessCenter>
</businessCenters>
<dateRelativeTo href="InterimValuationDates" />
</relativeDates>
</paymentDatesInterim>
<paymentDateFinal id="FinalEquityPaymentDate">
<relativeDate>
<periodMultiplier>3</periodMultiplier>
<period>D</period>
<dayType>Calendar</dayType>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCentersReference href="primaryBusinessCenter" />
<dateRelativeTo href="FinalValuationDate" />
</relativeDate>
</paymentDateFinal>
</paymentDates>
</rateOfReturn>
<notional>
<notionalAmount id="EquityNotionalAmount">
<currency>EUR</currency>
<amount>10500000.00</amount>
</notionalAmount>
</notional>
<amount>
<currencyReference href="ReferenceCurrency" />
<referenceAmount>ISDA Standard</referenceAmount>
<cashSettlement>false</cashSettlement>
</amount>
<return>
<returnType>Total</returnType>
</return>
<notionalAdjustments>Execution</notionalAdjustments>
<fxFeature>
<referenceCurrency id="ReferenceCurrency">EUR</referenceCurrency>
<composite>
<determinationMethod>CalculationAgent</determinationMethod>
</composite>
</fxFeature>
</returnLeg>
<interestLeg>
<payerPartyReference href="party2" />
<receiverPartyReference href="party1" />
<interestLegCalculationPeriodDates id="InterestLegPeriodDates">
<effectiveDate>
<relativeDate>
<periodMultiplier>3</periodMultiplier>
<period>D</period>
<dayType>ExchangeBusiness</dayType>
<businessDayConvention>NotApplicable</businessDayConvention>
<dateRelativeTo href="TradeDate" />
</relativeDate>
</effectiveDate>
<terminationDate>
<relativeDate>
<periodMultiplier>0</periodMultiplier>
<period>D</period>
<businessDayConvention>NotApplicable</businessDayConvention>
<businessCentersReference href="primaryBusinessCenter" />
<dateRelativeTo href="FinalEquityPaymentDate" />
</relativeDate>
</terminationDate>
<interestLegResetDates>
<calculationPeriodDatesReference href="InterestLegPeriodDates" />
<resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
</interestLegResetDates>
<interestLegPaymentDates>
<relativeDates>
<periodMultiplier>0</periodMultiplier>
<period>D</period>
<businessDayConvention>NotApplicable</businessDayConvention>
<businessCentersReference href="primaryBusinessCenter" />
<dateRelativeTo href="EquityPaymentDate" />
</relativeDates>
</interestLegPaymentDates>
</interestLegCalculationPeriodDates>
<notional>
<relativeNotionalAmount href="EquityNotionalAmount" />
</notional>
<interestAmount>
<currencyReference href="ReferenceCurrency" />
<referenceAmount>Standard ISDA</referenceAmount>
</interestAmount>
<interestCalculation>
<floatingRateCalculation>
<floatingRateIndex>EUR-EURIBOR-Telerate</floatingRateIndex>
<indexTenor>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</indexTenor>
<spreadSchedule>
<initialValue>0.0050</initialValue>
</spreadSchedule>
</floatingRateCalculation>
<dayCountFraction>ACT/365.FIXED</dayCountFraction>
</interestCalculation>
<stubCalculationPeriod>
<initialStub>
<stubRate>0.02125</stubRate>
<stubStartDate>
<relativeDate>
<periodMultiplier>0</periodMultiplier>
<period>D</period>
<businessDayConvention>NotApplicable</businessDayConvention>
<dateRelativeTo href="EffectiveDate" />
</relativeDate>
</stubStartDate>
<stubEndDate>
<adjustableDate>
<unadjustedDate>2002-08-01</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</stubEndDate>
</initialStub>
<finalStub>
<floatingRate>
<floatingRateIndex>EUR-EURIBOR-Telerate</floatingRateIndex>
<indexTenor>
<periodMultiplier>1</periodMultiplier>
<period>W</period>
</indexTenor>
<spreadSchedule>
<initialValue>0.0050</initialValue>
</spreadSchedule>
</floatingRate>
<stubStartDate>
<adjustableDate>
<unadjustedDate>2004-07-01</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</stubStartDate>
<stubEndDate>
<relativeDate>
<periodMultiplier>0</periodMultiplier>
<period>D</period>
<businessDayConvention>NotApplicable</businessDayConvention>
<dateRelativeTo href="TerminationDate" />
</relativeDate>
</stubEndDate>
</finalStub>
</stubCalculationPeriod>
</interestLeg>
<extraordinaryEvents>
<additionalDisruptionEvents>
<changeInLaw>true</changeInLaw>
<failureToDeliver>true</failureToDeliver>
<insolvencyFiling>false</insolvencyFiling>
<hedgingDisruption>true</hedgingDisruption>
<lossOfStockBorrow>true</lossOfStockBorrow>
<increasedCostOfStockBorrow>false</increasedCostOfStockBorrow>
<increasedCostOfHedging>false</increasedCostOfHedging>
<determiningPartyReference href="party1" />
</additionalDisruptionEvents>
</extraordinaryEvents>
</returnSwap>
<calculationAgent>
<calculationAgentPartyReference href="party1" />
</calculationAgent>
<documentation>
<masterAgreement>
<masterAgreementType>ISDA</masterAgreementType>
<masterAgreementVersion>2002</masterAgreementVersion>
</masterAgreement>
<contractualDefinitions>ISDA2000</contractualDefinitions>
<contractualDefinitions>ISDA2002Equity</contractualDefinitions>
</documentation>
<governingLaw>GBEN</governingLaw>
</trade>
<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>
</confirmationAgreed>