interchange-schema-registry
Version:
A Global Schema Registry for Data Interchange formats
183 lines (180 loc) • 7.52 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-ex45-fx-leveraged-accrual-forward.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>2014-06-09T08:57:00Z</creationTimestamp>
</header>
<isCorrection>false</isCorrection>
<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="partyA" />
<tradeId tradeIdScheme="#partyA">12345</tradeId>
</partyTradeIdentifier>
<tradeDate>2014-06-09</tradeDate>
</tradeHeader>
<fxAccrualForward>
<productType productTypeScheme="http://www.fpml.org/coding-scheme/product-type-simple">FxAccrualForward</productType>
<!--USD Notional Amount 1: USD 400,000.00-->
<notionalAmount>
<initialValue>400000.00</initialValue>
<currency>USD</currency>
</notionalAmount>
<!--Accrual Process - describes the accrual process-->
<accrual>
<observable id="ob1">
<quotedCurrencyPair>
<!--what it is you are measuring. -->
<currency1>USD</currency1>
<currency2>CAD</currency2>
<quoteBasis>Currency2PerCurrency1</quoteBasis>
</quotedCurrencyPair>
<informationSource>
<!--Describes the source the accrual event based on-->
<rateSource>Reuters</rateSource>
<rateSourcePage>BOFC</rateSourcePage>
<fixingTime>
<hourMinuteTime>12:00:00</hourMinuteTime>
<businessCenter>CATO</businessCenter>
</fixingTime>
</informationSource>
</observable>
<accrualRegion>
<observableReference href="ob1" />
<lowerBound>
<condition>AtOrAbove</condition>
<level>
<initialValue>1.0825</initialValue>
</level>
</lowerBound>
<upperBound>
<condition>Below</condition>
<level>
<initialValue>1.1100</initialValue>
</level>
</upperBound>
</accrualRegion>
<accrualRegion>
<observableReference href="ob1" />
<lowerBound>
<condition>Above</condition>
<level>
<initialValue>1.0400</initialValue>
</level>
</lowerBound>
<upperBound>
<condition>Below</condition>
<level>
<initialValue>1.0825</initialValue>
</level>
</upperBound>
<accrualFactor>
<initialValue>2</initialValue>
</accrualFactor>
</accrualRegion>
<fixingSchedule>
<!--the dates when you are measuring-->
<startDate>2014-10-01</startDate>
<endDate>2014-10-31</endDate>
<dayType>Business</dayType>
<businessCenters>
<businessCenter>USNY</businessCenter>
<businessCenter>CATO</businessCenter>
</businessCenters>
<numberOfFixings>22</numberOfFixings>
</fixingSchedule>
</accrual>
<expiryDate>
<!--dateAdjustments defer back to the definition-->
<adjustedDate>2014-10-31</adjustedDate>
<expiryTime>
<hourMinuteTime>10:00:00</hourMinuteTime>
<businessCenter>USNY</businessCenter>
</expiryTime>
</expiryDate>
<settlementDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>USNY</businessCenter>
<businessCenter>CATO</businessCenter>
</businessCenters>
</dateAdjustments>
<adjustedDate>2014-11-03</adjustedDate>
</settlementDate>
<linearPayoffRegion>
<exchangedCurrency1>
<payerPartyReference href="partyB" />
<receiverPartyReference href="partyA" />
<currency>USD</currency>
</exchangedCurrency1>
<exchangedCurrency2>
<payerPartyReference href="partyA" />
<receiverPartyReference href="partyB" />
<currency>CAD</currency>
</exchangedCurrency2>
<strike>
<!--of type "FxForwardStrikePrice"-->
<initialValue>1.0825</initialValue>
<quoteBasis>Currency2PerCurrency1</quoteBasis>
</strike>
<!--CAD Notional Amount 1: CAD 433,000.00-->
<counterCurrencyAmount>
<initialValue>433000.00</initialValue>
<currency>CAD</currency>
</counterCurrencyAmount>
<!--If on the Expiration Date at the Expiration Time USDmat fixes at or above the Forward Rate then, the following exchange will be made on the Settlement Date
Party A Buys: CAD Notional Amount 1 x (the total number of Accrual Days / Total Number of Fixing Days in the Accrual Period);
Party B Buys: USD Notional Amount 1 x (the total number of Accrual Days / Total Number of Fixing Days in the Accrual Period)
If on the Expiration Date at the Expiration Time USDmat fixes below the Forward Rate then, the following exchange will be made in relation to the Accrual Period on the Settlement Date
Party A Buys: CAD Notional Amount 2 x (the total number of Accrual Days / Total Number of Fixing Days in the Accrual Period)
Party B Buys: USD Notional Amount 2 x (the total number of Accrual Days / Total Number of Fixing Days in the Accrual Period) -->
<leverage>
<condition>Below</condition>
<level>
<initialValue>1.0825</initialValue>
</level>
<quoteBasis>Currency2PerCurrency1</quoteBasis>
<!--USD Notional Amount 2: USD 800,000.00-->
<notionalAmount>
<!--notionalAmount or ratio-->
<initialValue>800000.00</initialValue>
<currency>USD</currency>
</notionalAmount>
<!--CAD Notional Amount 2: CAD 866,000.00-->
<counterCurrencyAmount>
<initialValue>866000.00</initialValue>
<currency>CAD</currency>
</counterCurrencyAmount>
</leverage>
</linearPayoffRegion>
</fxAccrualForward>
<calculationAgent>
<calculationAgentPartyReference href="partyA" />
</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>
</executionNotification>