interchange-schema-registry
Version:
A Global Schema Registry for Data Interchange formats
173 lines (172 loc) • 6.92 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-ex53-fx-european-accrual-forward-with-collar.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>2014-01-17T08:57:00Z</creationTimestamp>
</header>
<isCorrection>false</isCorrection>
<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="partyA" />
<tradeId tradeIdScheme="#partyA">12345</tradeId>
</partyTradeIdentifier>
<tradeDate>2014-01-17</tradeDate>
</tradeHeader>
<fxAccrualForward>
<productType productTypeScheme="http://www.fpml.org/coding-scheme/product-type-simple">FxAccrualForward</productType>
<notionalAmount>
<initialValue>510000.00</initialValue>
<currency>USD</currency>
</notionalAmount>
<!--Accrual Process - describes the accrual process-->
<accrual>
<observable id="ob1">
<quotedCurrencyPair>
<!--what it is you are measuring. -->
<currency1>EUR</currency1>
<currency2>USD</currency2>
<quoteBasis>Currency2PerCurrency1</quoteBasis>
</quotedCurrencyPair>
<informationSource>
<!--Describes the source the accrual event based on-->
<rateSource>Reuters</rateSource>
<rateSourcePage>ECB37</rateSourcePage>
<fixingTime>
<hourMinuteTime>14:15:00</hourMinuteTime>
<businessCenter>DEFR</businessCenter>
</fixingTime>
</informationSource>
</observable>
<!-- Accrual Rate 1: 1.4000 USD/EUR
Accrual Rate 2: 1.3200 USD/EUR
-->
<accrualRegion>
<observableReference href="ob1" />
<lowerBound>
<condition>Above</condition>
<level>
<initialValue>1.3200</initialValue>
</level>
<!--accrual rate2-->
</lowerBound>
<upperBound>
<condition>Below</condition>
<level>
<initialValue>1.4000</initialValue>
</level>
<!--accrual rate1-->
</upperBound>
</accrualRegion>
<fixingSchedule>
<!--the dates when you are measuring-->
<startDate>2014-01-20</startDate>
<endDate>2015-01-19</endDate>
<dayType>Business</dayType>
<businessCenters>
<businessCenter>EUTA</businessCenter>
</businessCenters>
<numberOfFixings>255</numberOfFixings>
</fixingSchedule>
</accrual>
<expiryDate>
<adjustedDate>2015-01-19</adjustedDate>
<expiryTime>
<hourMinuteTime>10:00:00</hourMinuteTime>
<businessCenter>USNY</businessCenter>
</expiryTime>
</expiryDate>
<settlementDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>USNY</businessCenter>
<businessCenter>EUTA</businessCenter>
</businessCenters>
</dateAdjustments>
<adjustedDate>2015-01-21</adjustedDate>
</settlementDate>
<!--Party A Buys: USD Notional Amount x (the total number of Accrual Days / Total Number of Fixing Dates Business Days in the Accrual Period).
Party B Buys: EUR Notional Amount 1 x (the total number of Accrual Days / Total Number of Fixing Dates Business Days in the Accrual Period)
-->
<linearPayoffRegion>
<exchangedCurrency1>
<payerPartyReference href="partyA" />
<receiverPartyReference href="partyB" />
<currency>EUR</currency>
</exchangedCurrency1>
<exchangedCurrency2>
<payerPartyReference href="partyB" />
<receiverPartyReference href="partyA" />
<currency>USD</currency>
</exchangedCurrency2>
<strike id="str1">
<initialValue>1.3900</initialValue>
<quoteBasis>Currency2PerCurrency1</quoteBasis>
</strike>
<counterCurrencyAmount>
<initialValue>366906.47</initialValue>
<currency>EUR</currency>
</counterCurrencyAmount>
<lowerBound>
<condition>AtOrAbove</condition>
<strikeReference href="str1" />
</lowerBound>
</linearPayoffRegion>
<!--Party A Buys: USD Notional Amount x (the total number of Accrual Days / Total Number of Fixing Dates Business Days in the Accrual Period).
Party B Buys: EUR Notional Amount 2 x (the total number of Accrual Days / Total Number of Fixing Dates Business Days in the Accrual Period)
-->
<linearPayoffRegion>
<exchangedCurrency1>
<payerPartyReference href="partyA" />
<receiverPartyReference href="partyB" />
<currency>EUR</currency>
</exchangedCurrency1>
<exchangedCurrency2>
<payerPartyReference href="partyB" />
<receiverPartyReference href="partyA" />
<currency>USD</currency>
</exchangedCurrency2>
<strike id="str2">
<initialValue>1.3500</initialValue>
<quoteBasis>Currency2PerCurrency1</quoteBasis>
</strike>
<counterCurrencyAmount>
<initialValue>377777.78</initialValue>
<currency>EUR</currency>
</counterCurrencyAmount>
<upperBound>
<condition>AtOrBelow</condition>
<strikeReference href="str2" />
</upperBound>
</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>