interchange-schema-registry
Version:
A Global Schema Registry for Data Interchange formats
161 lines (160 loc) • 7.01 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-->
<!-- example of predetermined clearing, based on confirmation view /products/variance-swap/eqvs-ex06-variance-option-transaction-supplement.xml -->
<requestConfirmation
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.fpml.org/msg-id">123</messageId>
<sentBy>BIC1</sentBy>
<sendTo>BIC16C</sendTo>
<creationTimestamp>2009-01-27T15:38:00-00:00</creationTimestamp>
</header>
<isCorrection>false</isCorrection>
<correlationId correlationIdScheme="http://www.example.com/conversationId">CW/2009/01/27/123</correlationId>
<sequenceNumber>1</sequenceNumber>
<trade>
<tradeHeader>
<partyTradeIdentifier>
<partyReference href="partyA" />
<tradeId tradeIdScheme="http://www.swapswire.com/spec/2001/trade-id-1-0">166555</tradeId>
</partyTradeIdentifier>
<partyTradeIdentifier>
<partyReference href="partyB" />
<tradeId tradeIdScheme="http://www.swapswire.com/spec/2001/trade-id-1-0">166555</tradeId>
</partyTradeIdentifier>
<tradeDate>2009-01-27</tradeDate>
</tradeHeader>
<varianceOptionTransactionSupplement>
<buyerPartyReference href="partyA" />
<sellerPartyReference href="partyB" />
<optionType>Call</optionType>
<equityPremium>
<payerPartyReference href="partyA" />
<receiverPartyReference href="partyB" />
<paymentAmount>
<currency>GBP</currency>
<amount>1500000</amount>
</paymentAmount>
<paymentDate>
<unadjustedDate>2009-01-29</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</paymentDate>
</equityPremium>
<equityExercise>
<equityEuropeanExercise>
<expirationDate>
<adjustableDate>
<unadjustedDate>2015-03-20</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</expirationDate>
<equityExpirationTimeType>OSP</equityExpirationTimeType>
</equityEuropeanExercise>
<automaticExercise>true</automaticExercise>
<equityValuation id="valuationDate">
<futuresPriceValuation>true</futuresPriceValuation>
</equityValuation>
<settlementCurrency>GBP</settlementCurrency>
<settlementType>Cash</settlementType>
</equityExercise>
<clearingInstructions>
<clearedPhysicalSettlement>true</clearedPhysicalSettlement>
<predeterminedClearingOrganizationPartyReference href="clearing-svc" />
</clearingInstructions>
<varianceSwapTransactionSupplement>
<varianceLeg>
<payerPartyReference href="partyA" />
<receiverPartyReference href="partyB" />
<underlyer>
<singleUnderlyer>
<index>
<instrumentId instrumentIdScheme="http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC-1-0">.FTSE</instrumentId>
<description>FTSE 100 INDEX</description>
<exchangeId exchangeIdScheme="http://www.fpml.org/spec/2002/exchangeId">XLON</exchangeId>
<relatedExchangeId exchangeIdScheme="http://www.fpml.org/spec/2002/exchangeId">XLIF</relatedExchangeId>
</index>
</singleUnderlyer>
</underlyer>
<settlementType>Cash</settlementType>
<settlementDate>
<relativeDate>
<periodMultiplier>2</periodMultiplier>
<period>D</period>
<dayType>CurrencyBusiness</dayType>
<businessDayConvention>NotApplicable</businessDayConvention>
<dateRelativeTo href="valuationDate" />
</relativeDate>
</settlementDate>
<settlementCurrency>GBP</settlementCurrency>
<valuation>
<valuationDate>
<adjustableDate>
<unadjustedDate>2011-03-18</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</valuationDate>
<futuresPriceValuation>true</futuresPriceValuation>
</valuation>
<amount>
<observationStartDate>
<adjustableDate>
<unadjustedDate>2009-01-27</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NotApplicable</businessDayConvention>
</dateAdjustments>
</adjustableDate>
</observationStartDate>
<variance>
<closingLevel>true</closingLevel>
<expectedN>542</expectedN>
<varianceAmount>
<currency>GBP</currency>
<amount>33333.33</amount>
</varianceAmount>
<varianceStrikePrice>225</varianceStrikePrice>
<varianceCap>false</varianceCap>
<vegaNotionalAmount>1000000</vegaNotionalAmount>
</variance>
</amount>
</varianceLeg>
<multipleExchangeIndexAnnexFallback>false</multipleExchangeIndexAnnexFallback>
</varianceSwapTransactionSupplement>
</varianceOptionTransactionSupplement>
<documentation>
<masterConfirmation>
<masterConfirmationType>ISDA2007VarianceSwapEuropeanRev1</masterConfirmationType>
<masterConfirmationDate>2009-01-07</masterConfirmationDate>
<masterConfirmationAnnexDate>2009-01-07</masterConfirmationAnnexDate>
<masterConfirmationAnnexType>ISDA2007VarianceOptionEuropean</masterConfirmationAnnexType>
</masterConfirmation>
</documentation>
</trade>
<party id="partyA">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/dummy-party-id">ABC1</partyId>
<partyName>SwapsWire Ltd (LE)</partyName>
</party>
<party id="partyB">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/dummy-party-id">ABC6</partyId>
<partyName>Rusty</partyName>
</party>
<party id="clearing-svc">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442">549300IB5Q45JGNPND58</partyId>
<partyName>ClearItAll Corp</partyName>
</party>
</requestConfirmation>