interchange-schema-registry
Version:
A Global Schema Registry for Data Interchange formats
118 lines (117 loc) • 4.63 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
-->
<!--See - ISDA templates - http://www.isda.org/publications/pdf/June-2013-Vol-Swap-Var-Supplement-to-the-1998-FX-Defs-Final.pdf -->
<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.executionnotificationservice.com/coding-scheme/messageId">FX456a789b</messageId>
<sentBy messageAddressScheme="http://www.executionnotificationservice.com/partyId">EXECSRV</sentBy>
<sendTo messageAddressScheme="http://www.executionnotificationservice.com/partyId">PARTYA</sendTo>
<creationTimestamp>2011-03-01T08:57:00Z</creationTimestamp>
</header>
<isCorrection>false</isCorrection>
<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="partyA" />
<tradeId tradeIdScheme="http://www.citi.com/fx/trade-id">12345</tradeId>
</partyTradeIdentifier>
<tradeDate id="TradeDate">2011-03-01</tradeDate>
</tradeHeader>
<!--A contract where one payer pays the other the difference between the Realised variance of underlying currency and the Strike -->
<fxVarianceSwap>
<productType productTypeScheme="http://www.fpml.org/coding-scheme/product-type-simple">FxVarianceSwap</productType>
<quotedCurrencyPair>
<currency1>EUR</currency1>
<currency2>USD</currency2>
<quoteBasis>Currency2PerCurrency1</quoteBasis>
</quotedCurrencyPair>
<vegaNotional>
<currency>USD</currency>
<amount>100000.00</amount>
</vegaNotional>
<notional>
<currency>USD</currency>
<amount>33112582.78</amount>
</notional>
<fixedLeg>
<payerPartyReference href="partyA" />
<fixedRate>0.1510</fixedRate>
<!--variance "strike" [fixedRate]%-->
</fixedLeg>
<floatingLeg>
<payerPartyReference href="partyB" />
</floatingLeg>
<fixingInformationSource>
<primaryRateSource>
<rateSource>WM Company</rateSource>
<rateSourcePage>Sponsor Mid Page</rateSourcePage>
</primaryRateSource>
<fixingTime>
<hourMinuteTime>16:00:00</hourMinuteTime>
<businessCenter>GBLO</businessCenter>
</fixingTime>
</fixingInformationSource>
<fixingSchedule>
<startDate>2011-03-01</startDate>
<endDate>2011-03-31</endDate>
<dayType>Business</dayType>
<businessCenters>
<businessCenter>USNY</businessCenter>
</businessCenters>
</fixingSchedule>
<valuationDateOffset>
<periodMultiplier>1</periodMultiplier>
<period>D</period>
<dayType>Business</dayType>
<businessCenters>
<businessCenter>USNY</businessCenter>
</businessCenters>
</valuationDateOffset>
<settlementDate>
<adjustedDate>2011-04-04</adjustedDate>
</settlementDate>
<annualizationFactor>252</annualizationFactor>
<meanAdjustment>true</meanAdjustment>
<numberOfReturns>22</numberOfReturns>
<additionalPayment>
<payerPartyReference href="partyA" />
<receiverPartyReference href="partyB" />
<paymentAmount>
<currency>USD</currency>
<amount>5000.00</amount>
</paymentAmount>
<paymentDate>
<adjustedDate>2011-03-03</adjustedDate>
</paymentDate>
</additionalPayment>
<cashSettlement>
<settlementCurrency>USD</settlementCurrency>
</cashSettlement>
</fxVarianceSwap>
<calculationAgent>
<calculationAgentPartyReference href="partyB" />
</calculationAgent>
</trade>
<party id="partyA">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442">549300SRLRVTR996F086</partyId>
</party>
<party id="partyB">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442">549300RE0FSXJE8G1L65</partyId>
</party>
<account id="accountA">
<accountId>123-acc123</accountId>
<servicingParty href="partyA" />
</account>
</executionNotification>