interchange-schema-registry
Version:
A Global Schema Registry for Data Interchange formats
141 lines (139 loc) • 7.58 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 template: fx-ex32-fx-forward-volatility-agreement.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>2014-09-16T08:57:00Z</creationTimestamp>
</header>
<isCorrection>false</isCorrection>
<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="party1" />
<tradeId tradeIdScheme="http://www.citi.com/fx/trade-id">12345</tradeId>
</partyTradeIdentifier>
<tradeDate id="TradeDate">2014-09-16</tradeDate>
</tradeHeader>
<!--a forward volatility agreement, which takes the form of a foreign currency straddle with deferred setting of Strike Price-->
<fxForwardVolatilityAgreement>
<!-- The parameters of the FVA -->
<productType productTypeScheme="http://www.fpml.org/coding-scheme/product-type-simple">FxForwardVolatilityAgreement</productType>
<!--The buyer is the buyer of both options-->
<buyerPartyReference href="party1" />
<sellerPartyReference href="party2" />
<!--for calculating the underlying spot rate;-->
<quotedCurrencyPair>
<currency1>EUR</currency1>
<currency2>USD</currency2>
<quoteBasis>Currency2PerCurrency1</quoteBasis>
</quotedCurrencyPair>
<!--Effective date on the confirms-->
<fixingDate>2014-12-16</fixingDate>
<fixingTime>
<hourMinuteTime>10:00:00</hourMinuteTime>
<businessCenter>USNY</businessCenter>
</fixingTime>
<!--The strike will be determined by the Calculation Agent at the Fixing Time on the Fixing Date based on the Volatility Price-->
<forwardVolatilityStrikePrice>1.3</forwardVolatilityStrikePrice>
<!-- The details of the straddle -->
<straddle>
<straddleType>AtTheMoneyForward</straddleType>
<!-- mandatory. Enumerated values: AtTheMoneyForward and DeltaNeutral
used for calculating the underlying spot rate which determined on the fixing (effective) date;
Mean the single Strike Price for the whole underlying straddle, The Strike price shall be the at-the-money-forward
strike, expressed in the Counter Currency, of one unit of Base Currency. The at-the-money-forward strike will be
determined by the Calculation Agent at the Fixing Time on the Fixing Date based on the Forward Volatility Strike Price
<INSERT,WMCO Spot Exchange Rate of the Currency Pair at 10am NY time,> and prevailing market data (except
Volatility Price) as per standard market practice, acting in a commercially reasonable manner. In the event that there is
no, or insufficient, prevailing market data on the Fixing Date, the Strike Price will be determined by the Calculation Agent
at the Fixing Time on the Fixing Date based on the Volatility Price and such other information as the Calculation Agent
determines necessary, acting in a commercially reasonable manner. The Calculation Agent will notify the counterparty
of the Strike Price upon determination. -->
<tenorPeriod>
<periodMultiplier>3</periodMultiplier>
<period>M</period>
</tenorPeriod>
<!--European Exercise only-->
<europeanExercise>
<expiryDate>2015-03-16</expiryDate>
<expiryTime>
<hourMinuteTime>10:00:00</hourMinuteTime>
<businessCenter>USNY</businessCenter>
</expiryTime>
<valueDate>2015-03-16</valueDate>
</europeanExercise>
<notional>
<currency>EUR</currency>
<amount>10000000.00</amount>
</notional>
<!--The Counter Currency Amount is converted at the Strike Price-->
<counterCurrency>USD</counterCurrency>
<premium>
<!--optional. should this be mandatory?-->
<payerPartyReference href="party1" />
<!--the buyer of the straddle - the payer of the premium-->
<receiverPartyReference href="party2" />
<paymentDate>
<adjustableDate>
<unadjustedDate>2014-12-16</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</paymentDate>
<paymentCurrency>USD</paymentCurrency>
<!--The premium will be determined by the Calculation Agent at the Fixing Time on the
Fixing Date based on the Volatility Price and prevailing market data (except Volatility Price) as per standard market
practice, acting in a commercially reasonable manner. In the event that there is no, or insufficient, prevailing market
data on the Fixing Date, the Premium will be determined by the Calculation Agent at the Fixng Time on the Fixing Date
based on the Volatility Price and such other information as the Calculation Agent determines necessary, acting in a
commercially reasonable manner.-->
</premium>
<settlementDate>
<adjustedDate>2014-12-16</adjustedDate>
</settlementDate>
<cashSettlement>
<settlementCurrency>USD</settlementCurrency>
</cashSettlement>
</straddle>
<additionalPayment>
<!--details at the time of execution - upfront fee-->
<payerPartyReference href="party1" />
<receiverPartyReference href="party2" />
<paymentAmount>
<currency>USD</currency>
<amount>5000.00</amount>
</paymentAmount>
<paymentDate>
<adjustedDate>2014-09-16</adjustedDate>
</paymentDate>
</additionalPayment>
</fxForwardVolatilityAgreement>
<calculationAgent>
<calculationAgentPartyReference href="party1" />
</calculationAgent>
</trade>
<party id="party1">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442">549300SRLRVTR996F086</partyId>
</party>
<party id="party2">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442">549300RE0FSXJE8G1L65</partyId>
</party>
</executionNotification>