interchange-schema-registry
Version:
A Global Schema Registry for Data Interchange formats
180 lines (178 loc) • 8.08 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-ex48-fx-fading-forward-extra-strategy.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>2014-10-01T08:57:00Z</creationTimestamp>
</header>
<isCorrection>false</isCorrection>
<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="partyA" />
<tradeId tradeIdScheme="http://www.markets.Reuters.com/rss/spec/2001/trade-id-3-0">123456789</tradeId>
</partyTradeIdentifier>
<partyTradeIdentifier>
<partyReference href="partyB" />
<tradeId tradeIdScheme="http://www.markets.Reuters.com/rss/spec/2001/trade-id-3-0">123456789</tradeId>
</partyTradeIdentifier>
<tradeDate>2014-10-01</tradeDate>
</tradeHeader>
<strategy>
<productType productTypeScheme="http://www.sample.com/coding-scheme/product-type-simple">FadingForwardStrategy</productType>
<!--PartyB buys USDCAD Vanilla Call option (Call USD Put CAD) notional 1,000,0000 USD strike 1.0825 maturity 31 Oct settlement 03 Nov
i.e.
If on the expiryDate, USDmat fixes at or above the Forward Rate then,
Party B receives USD 1,000,000
Party A receives CAD 1,082,500
-->
<fxOption>
<productType productTypeScheme="http://www.markets.Reuters.com/rss/spec/2001/product-type-1-0">Delta-Put-FX-Option</productType>
<buyerPartyReference href="partyB" />
<sellerPartyReference href="partyA" />
<europeanExercise>
<expiryDate>2014-10-31</expiryDate>
<expiryTime>
<hourMinuteTime>10:00:00</hourMinuteTime>
<businessCenter>USNY</businessCenter>
</expiryTime>
<valueDate>2014-11-03</valueDate>
</europeanExercise>
<putCurrencyAmount>
<currency>CAD</currency>
<amount>10825000.00</amount>
</putCurrencyAmount>
<callCurrencyAmount>
<currency>USD</currency>
<amount>10000000.00</amount>
</callCurrencyAmount>
<strike>
<rate>1.0825</rate>
<strikeQuoteBasis>CallCurrencyPerPutCurrency</strikeQuoteBasis>
</strike>
</fxOption>
<!--PartyB sells USDCAD Accrual Put option (Put USD Call CAD) notional 1,000,0000 USD strike 1.0825 maturity 31 Oct settlement 03 Nov. Product accrues below 1.07
With European KO at or above 1.0825
i.e.
If on the expiryDate, USDmat fixes below spot
Party B receives USD 1,000,000 * AccrualDays / Total Days
Party A receives CAD 1,082,500* AccrualDays / Total Days
-->
<fxAccrualOption>
<productType productTypeScheme="http://www.fpml.org/coding-scheme/product-type-simple">FxAccrualOption</productType>
<buyerPartyReference href="partyA" />
<sellerPartyReference href="partyB" />
<putCurrency>USD</putCurrency>
<callCurrency>CAD</callCurrency>
<notionalAmount>
<initialValue>10000000.00</initialValue>
<currency>USD</currency>
</notionalAmount>
<!--Accrual Process - describes the accrual process-->
<accrual>
<observable id="ob1">
<quotedCurrencyPair>
<!--what it is you are measuring. -->
<currency1>CAD</currency1>
<currency2>USD</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>
<!--"Accrual Days" means a Fixing Date during the Accrual Period where USDmat fixes below the Barrier Rate.-->
<accrualRegion>
<observableReference href="ob1" />
<upperBound>
<condition>Below</condition>
<level>
<initialValue>1.0700</initialValue>
</level>
</upperBound>
</accrualRegion>
<fixingSchedule>
<!--the dates when you are mesuaring-->
<startDate>2014-10-01</startDate>
<endDate>2014-10-31</endDate>
<dayType>Business</dayType>
<businessCenters>
<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>
<!--List of dates-->
<settlementDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>USNY</businessCenter>
<businessCenter>CATO</businessCenter>
</businessCenters>
</dateAdjustments>
<adjustedDate>2014-11-03</adjustedDate>
</settlementDate>
<strike>
<initialValue>1.0825</initialValue>
<strikeQuoteBasis>PutCurrencyPerCallCurrency</strikeQuoteBasis>
</strike>
<counterCurrencyAmount>
<initialValue>10825000.00</initialValue>
<currency>CAD</currency>
</counterCurrencyAmount>
<!--If the barrier is European, the question of KO would only arise at maturity -->
<barrier>
<barrierType>Knockout</barrierType>
<style>European</style>
<scope>Global</scope>
<condition>AtOrAbove</condition>
<triggerRate>
<initialValue>1.0825</initialValue>
</triggerRate>
<accrualRetention>Lose</accrualRetention>
</barrier>
</fxAccrualOption>
</strategy>
<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>