interchange-schema-registry
Version:
A Global Schema Registry for Data Interchange formats
146 lines (144 loc) • 6.76 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
-->
<!--
fx-ex55-fx-accrual-american-option
2. Settlement terms:
On the Expiration Date at the Expiration Time, the Buyer shall have the right to enter into the following transaction to be settled on the Settlement Date:
Buyer Buys: EUR Notional Amount x Number of Accrual Days / Total Number of Fixing Dates
Buyer Sells: HKD Notional Amount x Number of Accrual Days / Total Number of Fixing Dates
-->
<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>2014-06-24T08:57:00Z</creationTimestamp>
</header>
<isCorrection>false</isCorrection>
<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="partyA" />
<tradeId tradeIdScheme="#partyA">12345</tradeId>
</partyTradeIdentifier>
<tradeDate>2014-06-24</tradeDate>
</tradeHeader>
<fxAccrualOption>
<productType productTypeScheme="http://www.fpml.org/coding-scheme/product-type-simple">FxAccrualOption</productType>
<buyerPartyReference href="partyB" />
<sellerPartyReference href="partyA" />
<putCurrency>HKD</putCurrency>
<callCurrency>EUR</callCurrency>
<notionalAmount>
<initialValue>14018691.59</initialValue>
<currency>EUR</currency>
</notionalAmount>
<!--Accrual Process - describes the accrual process-->
<accrual>
<observable id="ob1">
<!--what it is you are measuring.-->
<quotedCurrencyPair>
<currency1>EUR</currency1>
<currency2>HKD</currency2>
<quoteBasis>Currency2PerCurrency1</quoteBasis>
</quotedCurrencyPair>
<!--Describes the source the accrual event based on-->
<informationSource>
<rateSource>Reuters</rateSource>
<rateSourcePage>ECB37</rateSourcePage>
<fixingTime>
<hourMinuteTime>14:15:00</hourMinuteTime>
<businessCenter>DEFR</businessCenter>
</fixingTime>
</informationSource>
</observable>
<!-- Defines a barrier boundary to the accrual region. -->
<accrualRegion>
<observableReference href="ob1" />
<lowerBound>
<condition>Above</condition>
<!-- This is EURmart -->
<level>
<!--will trigger an accrual and indicates where you are-->
<initialValue>10.7500</initialValue>
</level>
</lowerBound>
</accrualRegion>
<!--the dates when you are mesuaring-->
<fixingSchedule>
<startDate>2014-06-25</startDate>
<endDate>2014-09-30</endDate>
<dayType>Business</dayType>
<businessCenters>
<businessCenter>EUTA</businessCenter>
</businessCenters>
<numberOfFixings>70</numberOfFixings>
</fixingSchedule>
</accrual>
<expiryDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>FRPA</businessCenter>
<businessCenter>GBLO</businessCenter>
</businessCenters>
</dateAdjustments>
<adjustedDate>2014-09-30</adjustedDate>
<expiryTime>
<hourMinuteTime>10:00:00</hourMinuteTime>
<businessCenter>USNY</businessCenter>
</expiryTime>
</expiryDate>
<settlementDate>
<dateAdjustments>
<!--optional component-->
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>EUTA</businessCenter>
<businessCenter>HKHK</businessCenter>
</businessCenters>
</dateAdjustments>
<adjustedDate>2014-10-06</adjustedDate>
</settlementDate>
<strike>
<initialValue>10.7000</initialValue>
<strikeQuoteBasis>PutCurrencyPerCallCurrency</strikeQuoteBasis>
</strike>
<counterCurrencyAmount>
<initialValue>150000000.00</initialValue>
<currency>HKD</currency>
</counterCurrencyAmount>
<barrier>
<barrierType>Knockout</barrierType>
<style>American</style>
<scope>Global</scope>
<condition>Below</condition>
<triggerRate>
<initialValue>10.7700</initialValue>
</triggerRate>
<accrualRetention>Keep</accrualRetention>
</barrier>
</fxAccrualOption>
<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>