interchange-schema-registry
Version:
A Global Schema Registry for Data Interchange formats
157 lines (153 loc) • 6.9 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-ex59-fx-range-accrual-european.pdf
Note: this trade have been booked as part of a trade strategy. The conf does not say this because the legs were booked individually rather than linked
The premium for the structure as a whole has been loaded onto this one leg. It's reasonably common for structures to be booked as an unlinked collection of legs.
2. Settlement terms:
On the relevant Settlement Date, the Option Seller shall pay to the Option Buyer an amount, in the Settlement Currency, calculated according to the following formula:
Accrual Currency and Notional Amount x (the total number of Accrual Days / Total Number of Calendar Days in the Accrual Period)
-->
<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>2013-03-14</tradeDate>
</tradeHeader>
<!-- "fxRangeAccrual" - there is no optionality. Note it is always cash-settled -->
<fxRangeAccrual>
<productType productTypeScheme="http://www.fpml.org/coding-scheme/product-type-simple">FxRangeAccrual</productType>
<payerPartyReference href="partyB" />
<receiverPartyReference href="partyA" />
<!--What defines the underlying product that is going to be paid-->
<notionalAmount>
<initialValue>21160252.00</initialValue>
<currency>HUF</currency>
</notionalAmount>
<!--Accrual Period - describes the accrual process-->
<accrual>
<observable id="ob1">
<quotedCurrencyPair>
<!--what it is you are measuring. -->
<currency1>EUR</currency1>
<currency2>HUF</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>
<!-- Range accrual -->
<accrualRegion>
<observableReference href="ob1" />
<!-- We do not need a type = European within accrual region barriers, they are implicitly European.
- European means notional will cease accruing if spot fixes across the barrier as defined by the direction, but will resume if later fixings fall back within the accrual region.-->
<lowerBound>
<!--Defines the boundaries of an accrual region. Need at least one barrier. -->
<!-- Defines a barrier boundary to the accrual region. -->
<!-- direction: AtOrAbove means the barrier event occurs if the fixing is at or above the trigger rate. -->
<condition>AtOrAbove</condition>
<level>
<initialValue>285.0000</initialValue>
</level>
</lowerBound>
<upperBound>
<!--Defines the boundaries of an accrual region. Need at least one barrier. -->
<!-- Defines a barrier boundary to the accrual region. -->
<!-- direction: AtOrBelow means the barrier event occurs if the fixing is at or below the trigger rate. -->
<condition>AtOrBelow</condition>
<!-- upperBound has AtOrBelow/Below-->
<!-- This is EURmart means the exchange rate expressed as the number of HKD per one EUR -->
<level>
<initialValue>309.0000</initialValue>
</level>
</upperBound>
</accrualRegion>
<fixingSchedule>
<!--the dates when you are mesuaring-->
<startDate>2014-03-18</startDate>
<endDate>2014-09-17</endDate>
<dayType>Business</dayType>
<businessCenters>
<businessCenter>EUTA</businessCenter>
<businessCenter>HUBU</businessCenter>
</businessCenters>
<numberOfFixings>129</numberOfFixings>
</fixingSchedule>
</accrual>
<expiryDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>EUTA</businessCenter>
<businessCenter>HKHK</businessCenter>
</businessCenters>
</dateAdjustments>
<adjustedDate>2014-09-17</adjustedDate>
</expiryDate>
<settlementDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>EUTA</businessCenter>
<businessCenter>HUBU</businessCenter>
</businessCenters>
</dateAdjustments>
<adjustedDate>2014-09-19</adjustedDate>
</settlementDate>
<premium>
<payerPartyReference href="partyB" />
<receiverPartyReference href="partyA" />
<paymentDate>
<adjustableDate>
<unadjustedDate>2013-03-19</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</paymentDate>
<paymentAmount>
<currency>HUF</currency>
<amount>31242595.00</amount>
</paymentAmount>
</premium>
</fxRangeAccrual>
<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>