interchange-schema-registry
Version:
A Global Schema Registry for Data Interchange formats
280 lines (279 loc) • 11.3 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-ex49-fx-boost-strip-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>2010-10-15T08:57:00Z</creationTimestamp>
</header>
<isCorrection>false</isCorrection>
<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="partyA" />
<tradeId tradeIdScheme="#partyA">12345</tradeId>
</partyTradeIdentifier>
<tradeDate>2010-10-15</tradeDate>
</tradeHeader>
<fxAccrualForward>
<!--USD Notional Amount / Accumulation Dates) * Accumulation Factor
Steps - define the breaks similar to strips in Targets
A1 - USD 440,000.00 - Oct 15 2010
A2 - USD 440,000.00 - Nov 16 2010
A3 - USD 460,000.00 - Dec 16 2010
A4 - USD 420,000.00 - Jan 18 2011
-->
<notionalAmount>
<initialValue>440000.00</initialValue>
<step>
<stepDate>2010-12-16</stepDate>
<stepValue>460000.00</stepValue>
</step>
<step>
<stepDate>2011-01-18</stepDate>
<stepValue>420000.00</stepValue>
</step>
<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>JPY</currency2>
<quoteBasis>Currency2PerCurrency1</quoteBasis>
</quotedCurrencyPair>
<informationSource>
<!--Describes the source the accrual event based on-->
<rateSource>WM Company</rateSource>
<rateSourcePage>JPY1</rateSourcePage>
<fixingTime>
<hourMinuteTime>10:00:00</hourMinuteTime>
<businessCenter>USNY</businessCenter>
</fixingTime>
</informationSource>
</observable>
<accrualRegion>
<observableReference href="ob1" />
<upperBound>
<condition>Below</condition>
<level>
<initialValue>112.00</initialValue>
</level>
</upperBound>
<accrualFactor>
<initialValue>2</initialValue>
</accrualFactor>
</accrualRegion>
<accrualRegion>
<observableReference href="ob1" />
<lowerBound>
<condition>AtOrAbove</condition>
<level>
<initialValue>112.00</initialValue>
</level>
</lowerBound>
<upperBound>
<condition>Below</condition>
<level>
<initialValue>120.00</initialValue>
</level>
</upperBound>
</accrualRegion>
<fixingSchedule>
<!--the dates when you are measuring-->
<startDate>2010-10-15</startDate>
<endDate>2011-02-15</endDate>
<dayType>Business</dayType>
<!-- A1 - USD 440,000.00 - Oct 15 2010-->
<fixingDate>2010-10-15</fixingDate>
<fixingDate>2010-10-18</fixingDate>
<fixingDate>2010-10-19</fixingDate>
<fixingDate>2010-10-20</fixingDate>
<fixingDate>2010-10-21</fixingDate>
<fixingDate>2010-10-22</fixingDate>
<fixingDate>2010-10-25</fixingDate>
<fixingDate>2010-10-26</fixingDate>
<fixingDate>2010-10-27</fixingDate>
<fixingDate>2010-10-28</fixingDate>
<fixingDate>2010-10-29</fixingDate>
<fixingDate>2010-11-01</fixingDate>
<fixingDate>2010-11-02</fixingDate>
<fixingDate>2010-11-03</fixingDate>
<fixingDate>2010-11-04</fixingDate>
<fixingDate>2010-11-05</fixingDate>
<fixingDate>2010-11-08</fixingDate>
<fixingDate>2010-11-09</fixingDate>
<fixingDate>2010-11-10</fixingDate>
<fixingDate>2010-11-11</fixingDate>
<fixingDate>2010-11-12</fixingDate>
<fixingDate>2010-11-15</fixingDate>
<!-- A2 - USD 440,000.00 - Nov 16 2010-->
<fixingDate>2010-11-16</fixingDate>
<fixingDate>2010-11-17</fixingDate>
<fixingDate>2010-11-18</fixingDate>
<fixingDate>2010-11-19</fixingDate>
<fixingDate>2010-11-22</fixingDate>
<fixingDate>2010-11-23</fixingDate>
<fixingDate>2010-11-24</fixingDate>
<fixingDate>2010-11-25</fixingDate>
<fixingDate>2010-11-26</fixingDate>
<fixingDate>2010-11-29</fixingDate>
<fixingDate>2010-11-30</fixingDate>
<fixingDate>2010-12-01</fixingDate>
<fixingDate>2010-12-02</fixingDate>
<fixingDate>2010-12-03</fixingDate>
<fixingDate>2010-12-06</fixingDate>
<fixingDate>2010-12-07</fixingDate>
<fixingDate>2010-12-08</fixingDate>
<fixingDate>2010-12-09</fixingDate>
<fixingDate>2010-12-10</fixingDate>
<fixingDate>2010-12-13</fixingDate>
<fixingDate>2010-12-14</fixingDate>
<fixingDate>2010-12-15</fixingDate>
<!-- A3 - USD 460,000.00 - Dec 16 2010-->
<fixingDate>2010-12-16</fixingDate>
<fixingDate>2010-12-17</fixingDate>
<fixingDate>2010-12-20</fixingDate>
<fixingDate>2010-12-21</fixingDate>
<fixingDate>2010-12-22</fixingDate>
<fixingDate>2010-12-23</fixingDate>
<fixingDate>2010-12-24</fixingDate>
<fixingDate>2010-12-27</fixingDate>
<fixingDate>2010-12-28</fixingDate>
<fixingDate>2010-12-29</fixingDate>
<fixingDate>2010-12-30</fixingDate>
<fixingDate>2010-12-31</fixingDate>
<fixingDate>2011-01-03</fixingDate>
<fixingDate>2011-01-04</fixingDate>
<fixingDate>2011-01-05</fixingDate>
<fixingDate>2011-01-06</fixingDate>
<fixingDate>2011-01-07</fixingDate>
<fixingDate>2011-01-10</fixingDate>
<fixingDate>2011-01-11</fixingDate>
<fixingDate>2011-01-12</fixingDate>
<fixingDate>2011-01-13</fixingDate>
<fixingDate>2011-01-14</fixingDate>
<fixingDate>2011-01-17</fixingDate>
<!-- A4 - USD 420,000.00 - Jan 18 2011-->
<fixingDate>2011-01-18</fixingDate>
<fixingDate>2011-01-19</fixingDate>
<fixingDate>2011-01-20</fixingDate>
<fixingDate>2011-01-21</fixingDate>
<fixingDate>2011-01-24</fixingDate>
<fixingDate>2011-01-25</fixingDate>
<fixingDate>2011-01-26</fixingDate>
<fixingDate>2011-01-27</fixingDate>
<fixingDate>2011-01-28</fixingDate>
<fixingDate>2011-01-31</fixingDate>
<fixingDate>2011-02-01</fixingDate>
<fixingDate>2011-02-02</fixingDate>
<fixingDate>2011-02-03</fixingDate>
<fixingDate>2011-02-04</fixingDate>
<fixingDate>2011-02-07</fixingDate>
<fixingDate>2011-02-08</fixingDate>
<fixingDate>2011-02-09</fixingDate>
<fixingDate>2011-02-10</fixingDate>
<fixingDate>2011-02-11</fixingDate>
<fixingDate>2011-02-14</fixingDate>
<fixingDate>2011-02-15</fixingDate>
</fixingSchedule>
</accrual>
<expirySchedule>
<adjustedDate>2010-11-15</adjustedDate>
<adjustedDate>2010-12-15</adjustedDate>
<adjustedDate>2011-01-17</adjustedDate>
<adjustedDate>2011-02-15</adjustedDate>
<finalExpiryDate>2011-02-15</finalExpiryDate>
</expirySchedule>
<settlementSchedule>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>USNY</businessCenter>
<businessCenter>JPTO</businessCenter>
</businessCenters>
</dateAdjustments>
<adjustedDate>2010-11-17</adjustedDate>
<adjustedDate>2010-12-17</adjustedDate>
<adjustedDate>2011-01-19</adjustedDate>
<adjustedDate>2011-02-17</adjustedDate>
<finalSettlementDate>2011-02-17</finalSettlementDate>
</settlementSchedule>
<!--Vanilla Payoff Region - describes the payoff process-->
<linearPayoffRegion>
<exchangedCurrency1>
<payerPartyReference href="partyB" />
<receiverPartyReference href="partyA" />
<currency>USD</currency>
</exchangedCurrency1>
<exchangedCurrency2>
<payerPartyReference href="partyA" />
<receiverPartyReference href="partyB" />
<currency>JPY</currency>
</exchangedCurrency2>
<strike>
<initialValue>112</initialValue>
<quoteBasis>Currency2PerCurrency1</quoteBasis>
</strike>
<counterCurrencyAmount>
<initialValue>49280000.00</initialValue>
<step>
<stepDate>2010-12-16</stepDate>
<stepValue>51520000.00</stepValue>
</step>
<step>
<stepDate>2011-01-18</stepDate>
<stepValue>47040000.00</stepValue>
</step>
<currency>JPY</currency>
</counterCurrencyAmount>
</linearPayoffRegion>
<additionalPayment>
<payerPartyReference href="partyB" />
<receiverPartyReference href="partyA" />
<paymentAmount>
<currency>USD</currency>
<amount>10000.00</amount>
</paymentAmount>
<paymentDate>
<adjustableDate>
<unadjustedDate>2012-12-10</unadjustedDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>USNY</businessCenter>
</businessCenters>
</dateAdjustments>
</adjustableDate>
</paymentDate>
</additionalPayment>
</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>