interchange-schema-registry
Version:
A Global Schema Registry for Data Interchange formats
263 lines (262 loc) • 12.8 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
-->
<dataDocument
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"
>
<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="partyA" />
<tradeId tradeIdScheme="http://www.partyA.com/swaps/trade-id">987654321-0</tradeId>
</partyTradeIdentifier>
<tradeDate>2012-06-29</tradeDate>
</tradeHeader>
<swap>
<swapStream id="fixedLeg">
<payerPartyReference href="partyA" />
<receiverPartyReference href="partyB" />
<calculationPeriodDates id="fixedLegCalcPeriodDates">
<effectiveDate>
<unadjustedDate>2012-09-26</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<terminationDate id="fixedLegTerminationDate">
<unadjustedDate>2013-03-26</unadjustedDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<!--Replaced business center collection (BRBR, BRRJ, BRSP) with single value BRDB (Brazil Business Days; adopted at business-center-6-7, May 2009)-->
<businessCenter>BRBD</businessCenter>
</businessCenters>
</dateAdjustments>
</terminationDate>
<calculationPeriodDatesAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</calculationPeriodDatesAdjustments>
<calculationPeriodFrequency>
<periodMultiplier>1</periodMultiplier>
<period>T</period>
<rollConvention>NONE</rollConvention>
</calculationPeriodFrequency>
</calculationPeriodDates>
<paymentDates>
<valuationDatesReference href="fixedLegFxFixingDates" />
<paymentFrequency>
<periodMultiplier>1</periodMultiplier>
<period>T</period>
</paymentFrequency>
<payRelativeTo>ValuationDate</payRelativeTo>
<paymentDaysOffset>
<periodMultiplier>1</periodMultiplier>
<period>D</period>
<dayType>Business</dayType>
</paymentDaysOffset>
<paymentDatesAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>USNY</businessCenter>
</businessCenters>
</paymentDatesAdjustments>
</paymentDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule>
<notionalStepSchedule>
<initialValue>100000000.0</initialValue>
<currency>BRL</currency>
</notionalStepSchedule>
</notionalSchedule>
<fixedRateSchedule>
<!--Historically plausible values used for fixed rate & floating leg initial rate -->
<initialValue>0.0876</initialValue>
</fixedRateSchedule>
<!--Added 'futureValueNotional' block as per ISDA/EMTA best practice, with explanatory comments-->
<futureValueNotional>
<currency>BRL</currency>
<!-- future value notional amount calculated as: notional * [(1 + 0.0876) ^ (122/252)] -->
<amount>104149148.42</amount>
<!-- number of Brazil business days between adjusted effective & termination dates -->
<calculationPeriodNumberOfDays>122</calculationPeriodNumberOfDays>
<valueDate>2013-03-26</valueDate>
</futureValueNotional>
<dayCountFraction>BUS/252</dayCountFraction>
</calculation>
</calculationPeriodAmount>
<settlementProvision>
<settlementCurrency>USD</settlementCurrency>
<nonDeliverableSettlement>
<referenceCurrency>BRL</referenceCurrency>
<fxFixingDate id="fixedLegFxFixingDates">
<!--Corrected fx fixing date period to “-2D”, instead of “-1”. The period is the FX fixing offset for non-deliverable settlement in USD. -->
<periodMultiplier>-2</periodMultiplier>
<period>D</period>
<!--Changed from 'Preceding' to 'Business' -->
<dayType>Business</dayType>
<businessDayConvention>NONE</businessDayConvention>
<businessCenters>
<!--Replaced business center collection (BRBR, BRRJ, BRSP) with single value BRDB (Brazil Business Days; adopted at business-center-6-7, May 2009)-->
<businessCenter>BRBD</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
<dateRelativeToCalculationPeriodDates>
<calculationPeriodDatesReference href="fixedLegTerminationDate" />
</dateRelativeToCalculationPeriodDates>
</fxFixingDate>
<settlementRateOption>BRL.PTAX/BRL09</settlementRateOption>
</nonDeliverableSettlement>
</settlementProvision>
</swapStream>
<swapStream id="floatingLeg">
<payerPartyReference href="partyB" />
<receiverPartyReference href="partyA" />
<calculationPeriodDates id="floatingLegCalcPeriodDates">
<effectiveDate>
<unadjustedDate>2012-09-26</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<terminationDate id="floatingLegTerminationDate">
<unadjustedDate>2013-03-26</unadjustedDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<!--Replaced business center collection (BRBR, BRRJ, BRSP) with single value BRDB (Brazil Business Days; adopted at business-center-6-7, May 2009)-->
<businessCenter>BRBD</businessCenter>
</businessCenters>
</dateAdjustments>
</terminationDate>
<calculationPeriodDatesAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<!--Replaced business center collection (BRBR, BRRJ, BRSP) with single value BRDB (Brazil Business Days; adopted at business-center-6-7, May 2009)-->
<businessCenter>BRBD</businessCenter>
</businessCenters>
</calculationPeriodDatesAdjustments>
<!--
• In the sample, the floating stream calculationPeriodFrequency and resetFrequency are both expressed as “1D” (daily reset & accrual).
• I note that MarkitWire produces calculationPeriod = “1T”, resetFrequency = “1D” on BRL-CDI floating legs.
• Would it be appropriate to specify these frequencies as “1T” instead, as per the convention used with OIS indices (which also reset in arrears based on implicit daily rate observations)?
-->
<calculationPeriodFrequency>
<periodMultiplier>1</periodMultiplier>
<period>T</period>
<rollConvention>NONE</rollConvention>
</calculationPeriodFrequency>
</calculationPeriodDates>
<paymentDates>
<valuationDatesReference href="floatingLegFxFixingDates" />
<paymentFrequency>
<periodMultiplier>1</periodMultiplier>
<period>T</period>
</paymentFrequency>
<payRelativeTo>ValuationDate</payRelativeTo>
<paymentDaysOffset>
<periodMultiplier>1</periodMultiplier>
<period>D</period>
<dayType>Business</dayType>
</paymentDaysOffset>
<paymentDatesAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>USNY</businessCenter>
</businessCenters>
</paymentDatesAdjustments>
</paymentDates>
<resetDates id="floatingLegResetDates">
<calculationPeriodDatesReference href="floatingLegCalcPeriodDates" />
<fixingDates>
<!--Corrected fixing days offset to “-1”, instead of “(+)1”-->
<periodMultiplier>-1</periodMultiplier>
<period>D</period>
<dayType>Business</dayType>
<businessDayConvention>NONE</businessDayConvention>
<businessCenters>
<!--Replaced business center collection (BRBR, BRRJ, BRSP) with single value BRDB (Brazil Business Days; adopted at business-center-6-7, May 2009)-->
<businessCenter>BRBD</businessCenter>
</businessCenters>
<dateRelativeTo href="floatingLegResetDates" />
</fixingDates>
<!--
- In the sample, the floating stream calculationPeriodFrequency and resetFrequency are both expressed as “1D” (daily reset & accrual).
- MarkitWire produces calculationPeriod = “1T”, resetFrequency = “1D” on BRL-CDI floating legs.
- It be appropriate to specify these frequencies as “1T” instead, as per the convention used with OIS indices (which also reset in arrears based on implicit daily rate observations).
-->
<resetFrequency>
<periodMultiplier>1</periodMultiplier>
<period>T</period>
</resetFrequency>
<resetDatesAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<!--Replaced business center collection (BRBR, BRRJ, BRSP) with single value BRDB (Brazil Business Days; adopted at business-center-6-7, May 2009)-->
<businessCenter>BRBD</businessCenter>
</businessCenters>
</resetDatesAdjustments>
</resetDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule>
<notionalStepSchedule>
<initialValue>100000000.0</initialValue>
<currency>BRL</currency>
</notionalStepSchedule>
</notionalSchedule>
<floatingRateCalculation>
<floatingRateIndex>BRL-CDI</floatingRateIndex>
<!--Historically plausible values used for fixed rate & floating leg initial rate -->
<initialRate>0.10432</initialRate>
</floatingRateCalculation>
<dayCountFraction>BUS/252</dayCountFraction>
<compoundingMethod>Flat</compoundingMethod>
</calculation>
</calculationPeriodAmount>
<settlementProvision>
<settlementCurrency>USD</settlementCurrency>
<nonDeliverableSettlement>
<referenceCurrency>BRL</referenceCurrency>
<fxFixingDate id="floatingLegFxFixingDates">
<periodMultiplier>-2</periodMultiplier>
<period>D</period>
<dayType>Business</dayType>
<businessDayConvention>NONE</businessDayConvention>
<businessCenters>
<!--Replaced business center collection (BRBR, BRRJ, BRSP) with single value BRDB (Brazil Business Days; adopted at business-center-6-7, May 2009)-->
<businessCenter>BRBD</businessCenter>
<businessCenter>USNY</businessCenter>
</businessCenters>
<dateRelativeToCalculationPeriodDates>
<calculationPeriodDatesReference href="floatingLegTerminationDate" />
</dateRelativeToCalculationPeriodDates>
</fxFixingDate>
<settlementRateOption>BRL.PTAX/BRL09</settlementRateOption>
</nonDeliverableSettlement>
</settlementProvision>
</swapStream>
</swap>
<calculationAgent>
<calculationAgentPartyReference href="partyA" />
</calculationAgent>
<calculationAgentBusinessCenter>USNY</calculationAgentBusinessCenter>
</trade>
<party id="partyA">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/dummy-party-id">DELTA123</partyId>
<partyName>Delta Bank Ltd</partyName>
</party>
<party id="partyB">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/dummy-party-id">METRO123</partyId>
<partyName>Metro Bank Ltd</partyName>
</party>
</dataDocument>