[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

FPML-CWG FpML Collateral Schema Examples and Documentation (revised interest calculations)



Please find the latest schema and examples (rename .zip-email to .zip) with support for the revised interest calculations model which Richard sent with the minutes (and copied below). Also for download is the updated collateral documentation (51wd3_draft5.doc) (4MB / too big as an attachment). Thanks, Lyteck

 

 

"Below is an example of the revised interest calculation details, based on today’s feedback. The example shows compounding calculations for day 1 and day 2 to illustrate how the structures can be used. Feel free to send feedback/comments via the mailing list.

 

 

<interestAccrued>
               
<deliveringPartyReference href="party1"/>
               
<receivingPartyReference href="party2"/>
               
<interest>
                               
<currency>USD</currency>
                               
<amount>1371.55</amount><!-- = the cumulative interest amount at the end of the interest period-->
               
</interest>
               
<calculationTerms>
                               
<calculationType>Compounding</calculationType>
                               
<index>EUR-EONIA-Swap-Index</index>
                               
<spread>0.0030</spread>
                               
<dayCountFraction>ACT/360</dayCountFraction>
                               
<withholdingTax>true</withholdingTax>
               
</calculationTerms>
               
<interestCalculationDetails><!-- optional interest calculations: -->    
                               
<dailyInterestCalculation><!-- calculations for 1st day of period -->
                                               
<calculationDate>2010-08-01Z</calculationDate>
                                               
<principalAmount>600000</principalAmount><!-- current day's principal amount = previous day's principal amount +/- movement amount for today -->
                                               
<movement><!-- aggregated settled collateral movement for the calculation date -->
                                                               
<deliveringPartyReference href="party2"/>
                                                               
<receivingPartyReference href="party1"/>
                                                               
<amount>100000</amount>
                                               
</movement>
                                               
<effectivePrincipalAmount>600000</effectivePrincipalAmount>
                                               
<interestRate>0.43</interestRate>
                                               
<spread>0.03</spread>
                                               
<effectiveRate>0.40</effectiveRate>
                                               
<accruedInterest>666.66</accruedInterest> <!-- = (0.40 * 600,000) / 360  -->
                                               
<cumulativeInterestAmount>666.66</cumulativeInterestAmount>
                               
</dailyInterestCalculation>
                               
<dailyInterestCalculation><!-- calculations for 2nd day of period -->
                                               
<calculationDate>2010-08-02Z</calculationDate>
                                               
<principalAmount>650000</principalAmount> <!-- current day's principal amount = previous day's principal amount +/- movement amount for today -->
                                               
<movement><!-- aggregated settled collateral movement for the calculation date -->
                                                               
<deliveringPartyReference href="party1"/>
                                                               
<receivingPartyReference href="party2"/>
                                                               
<amount>50000</amount>
                                               
</movement>
                                               
<effectivePrincipalAmount>650666.66</effectivePrincipalAmount> <!-- end of day balance (principalAmount) + previous day's cumulativeInterestAmount = $650000 + $666.66 -->
                                               
<interestRate>0.42</interestRate>
                                               
<spread>0.03</spread>
                                               
<effectiveRate>0.39</effectiveRate>
                                               
<accruedInterest>704.89</accruedInterest> <!-- (0.39 * 650,666.66) / 360  -->
                                               
<cumulativeInterestAmount>1371.55</cumulativeInterestAmount> <!-- = day1 accrued interest ($666.66) + day 2 accrued interest ($704.89) -->
                               
</dailyInterestCalculation>
                               
<!-- interest calculations for day 3, 4, …, n  would go here -->
               
</interestCalculationDetails>
</interestAccrued>

 

 



The information contained in either this email and, if applicable, the attachment, are confidential and are intended only for the recipient. The contents of either the email or the attachment may not be disclosed or used by anyone other than the addressee. If you are not the intended recipient(s), any use, disclosure, copying, or distribution is prohibited and may be unlawful. If you have received this communication in error, please notify us by e-mail at isda@xxxxxxxx <mailto:isda@xxxxxxxx> then delete the e-mail and all attachments and any copies thereof. This communication is part of an ISDA process and is not intended for unauthorized use or distribution.

Attachment: FpML_collateral_xml_20101021_51wd3.zip-email
Description: FpML_collateral_xml_20101021_51wd3.zip-email