interchange-schema-registry
Version:
A Global Schema Registry for Data Interchange formats
156 lines (154 loc) • 7.89 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-ex45-fx-accrual-american-digital-option.pdf
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
On the Expiration Date at the Expiration Time, the Seller shall pay to the Buyer an amount in HKD calculated as follows:
If on the Expiration Date at the Expiration Time EURSpot fixes at or above the Strike Rate then, the Seller shall pay to the Buyer an amount in EUR on the Settlement Date calculated as follows:
Seller Pays: Rebate 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>
<fxAccrualDigitalOption>
<productType productTypeScheme="http://www.fpml.org/coding-scheme/product-type-simple">FxAccrualDigitalOption</productType>
<buyerPartyReference href="partyB" />
<sellerPartyReference href="partyA" />
<notionalAmount>
<initialValue>100000.00</initialValue>
<currency>HKD</currency>
</notionalAmount>
<!--Accrual Period - describes the accrual process-->
<accrual>
<observable id="ob1">
<quotedCurrencyPair>
<!--what it is you are measuring. -->
<currency1>EUR</currency1>
<currency2>HKD</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>
<accrualRegion>
<observableReference href="ob1" />
<!--Defines the boundaries of an accrual region. Need at least one barrier. -->
<lowerBound>
<condition>Above</condition>
<!--will trigger an accrual and indicates where you are-->
<level>
<initialValue>10.7500</initialValue>
</level>
</lowerBound>
</accrualRegion>
<fixingSchedule>
<!--the dates when you are mesuaring-->
<startDate>2014-06-25</startDate>
<endDate>2014-09-30</endDate>
<dayType>Business</dayType>
<businessCenters>
<businessCenter>EUTA</businessCenter>
<businessCenter>HKHK</businessCenter>
</businessCenters>
<numberOfFixings>70</numberOfFixings>
</fixingSchedule>
</accrual>
<expiryDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>EUTA</businessCenter>
<businessCenter>HKHK</businessCenter>
</businessCenters>
</dateAdjustments>
<adjustedDate>2014-09-30</adjustedDate>
<expiryTime>
<hourMinuteTime>10:00:00</hourMinuteTime>
<businessCenter>USNY</businessCenter>
</expiryTime>
</expiryDate>
<settlementDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>EUTA</businessCenter>
<businessCenter>HKHK</businessCenter>
</businessCenters>
</dateAdjustments>
<adjustedDate>2014-10-06</adjustedDate>
</settlementDate>
<!--
2015-01-15:FpML FX WG: added trigger rate.
On the Expiration Date at the Expiration Time, the Seller shall pay to the Buyer an amount in HKD calculated as follows:
If on the Expiration Date at the Expiration Time EURSpot fixes at or above the Strike Rate then,
the Seller shall pay to the Buyer an amount in EUR on the Settlement Date calculated as follows:
Seller Pays: Rebate Amount x Number of Accrual Days / Total Number of Fixing Dates
-->
<trigger>
<triggerCondition>AtOrAbove</triggerCondition>
<quotedCurrencyPair>
<currency1>EUR</currency1>
<currency2>HKD</currency2>
<quoteBasis>Currency2PerCurrency1</quoteBasis>
</quotedCurrencyPair>
<triggerRate>10.7000</triggerRate>
</trigger>
<!-- Defines a knockout barrier level beyond which either the accrual process is terminated or the option is terminated. -->
<barrier>
<barrierType>Knockout</barrierType>
<style>American</style>
<scope>Global</scope>
<condition>AtOrAbove</condition>
<triggerRate>
<initialValue>10.7700</initialValue>
</triggerRate>
<accrualRetention>Keep</accrualRetention>
</barrier>
<!--Premium - Not Applicable-->
</fxAccrualDigitalOption>
<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>