interchange-schema-registry
Version:
A Global Schema Registry for Data Interchange formats
208 lines (207 loc) • 7.67 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-ex54-fx-accrual-forward-with-variable-strike.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>2011-07-07T08:57:00Z</creationTimestamp>
</header>
<isCorrection>false</isCorrection>
<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="partyA" />
<tradeId tradeIdScheme="#partyA">12345</tradeId>
</partyTradeIdentifier>
<tradeDate>2011-07-07</tradeDate>
</tradeHeader>
<fxAccrualForward>
<productType productTypeScheme="http://www.fpml.org/coding-scheme/product-type-simple">FxAccrualForward</productType>
<notionalAmount>
<initialValue>188000000.00</initialValue>
<currency>USD</currency>
</notionalAmount>
<!--Accrual Process - describes the accrual process-->
<accrual>
<observable id="ob1">
<quotedCurrencyPair>
<currency1>EUR</currency1>
<currency2>USD</currency2>
<quoteBasis>Currency2PerCurrency1</quoteBasis>
</quotedCurrencyPair>
<informationSource>
<rateSource>Reuters</rateSource>
<rateSourcePage>ECB37</rateSourcePage>
<fixingTime>
<hourMinuteTime>02:15:00</hourMinuteTime>
<businessCenter>DEFR</businessCenter>
</fixingTime>
</informationSource>
</observable>
<accrualRegion>
<observableReference href="ob1" />
<lowerBound>
<condition>Above</condition>
<level>
<initialValue>1.35</initialValue>
</level>
<quoteBasis>Currency2PerCurrency1</quoteBasis>
</lowerBound>
<upperBound>
<condition>AtOrBelow</condition>
<level>
<initialValue>1.47</initialValue>
</level>
<quoteBasis>Currency2PerCurrency1</quoteBasis>
</upperBound>
<notionalAmount>
<initialValue>188000000.00</initialValue>
<currency>USD</currency>
</notionalAmount>
<counterCurrencyAmount>
<initialValue>127891156.46</initialValue>
<currency>EUR</currency>
</counterCurrencyAmount>
</accrualRegion>
<accrualRegion>
<observableReference href="ob1" />
<lowerBound>
<condition>AtOrAbove</condition>
<level>
<initialValue>1.10</initialValue>
</level>
<quoteBasis>Currency2PerCurrency1</quoteBasis>
</lowerBound>
<upperBound>
<condition>AtOrBelow</condition>
<level>
<initialValue>1.35</initialValue>
</level>
<quoteBasis>Currency2PerCurrency1</quoteBasis>
</upperBound>
<notionalAmount>
<initialValue>188000000.00</initialValue>
<currency>USD</currency>
</notionalAmount>
<counterCurrencyAmount>
<initialValue>150761828.39</initialValue>
<currency>EUR</currency>
</counterCurrencyAmount>
</accrualRegion>
<accrualRegion>
<observableReference href="ob1" />
<upperBound>
<condition>Below</condition>
<level>
<initialValue>1.10</initialValue>
</level>
<quoteBasis>Currency2PerCurrency1</quoteBasis>
</upperBound>
<notionalAmount>
<initialValue>376000000.00</initialValue>
<currency>USD</currency>
</notionalAmount>
<counterCurrencyAmount>
<initialValue>301523656.78</initialValue>
<currency>EUR</currency>
</counterCurrencyAmount>
</accrualRegion>
<fixingSchedule>
<startDate>2011-07-07</startDate>
<endDate>2012-12-19</endDate>
<dayType>Business</dayType>
<businessCenters>
<businessCenter>EUTA</businessCenter>
</businessCenters>
<numberOfFixings>376</numberOfFixings>
</fixingSchedule>
</accrual>
<expiryDate>
<adjustedDate>2012-12-19</adjustedDate>
<expiryTime>
<hourMinuteTime>02:15:00</hourMinuteTime>
<businessCenter>DEFR</businessCenter>
</expiryTime>
</expiryDate>
<settlementDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>USNY</businessCenter>
<businessCenter>EUTA</businessCenter>
</businessCenters>
</dateAdjustments>
<adjustedDate>2012-12-21</adjustedDate>
</settlementDate>
<linearPayoffRegion>
<exchangedCurrency1>
<payerPartyReference href="partyB" />
<receiverPartyReference href="partyA" />
<currency>USD</currency>
</exchangedCurrency1>
<exchangedCurrency2>
<payerPartyReference href="partyA" />
<receiverPartyReference href="partyB" />
<currency>EUR</currency>
</exchangedCurrency2>
<strike id="st1">
<initialValue>1.247</initialValue>
<quoteBasis>Currency2PerCurrency1</quoteBasis>
</strike>
<upperBound>
<condition>AtOrBelow</condition>
<level>
<initialValue>1.35</initialValue>
</level>
</upperBound>
</linearPayoffRegion>
<linearPayoffRegion>
<exchangedCurrency1>
<payerPartyReference href="partyB" />
<receiverPartyReference href="partyA" />
<currency>USD</currency>
</exchangedCurrency1>
<exchangedCurrency2>
<payerPartyReference href="partyA" />
<receiverPartyReference href="partyB" />
<currency>EUR</currency>
</exchangedCurrency2>
<strike id="st2">
<initialValue>1.47</initialValue>
<quoteBasis>Currency2PerCurrency1</quoteBasis>
</strike>
<lowerBound>
<condition>Above</condition>
<level>
<initialValue>1.35</initialValue>
</level>
</lowerBound>
</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>