|
I’ve attached the model I developed of settlement
information, for today’s call. I’ve also attached an additional detailed example, this
one for equity products. Remaining to be done include commodities and FX. - Brian |
Attachment:
PositionReportWithSettlementInfo.png
Description: PNG image
<?xml version="1.0" encoding="utf-8"?>
<!--View is reporting-->
<!--Version is 5-0-->
<!--NS is http://www.fpml.org/FpML-5/reporting-->
<!--Omit some adjustments, details of procedures, and other information not required for a report-->
<positionReport xmlns="http://www.fpml.org/FpML-5/reporting"; xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"; fpmlVersion="5-0" xsi:schemaLocation="http://www.fpml.org/FpML-5/reporting ../fpml-main-5-0.xsd">
<header>
<messageId messageIdScheme="http://www.abc.com/mid";>XXX00123</messageId>
<sentBy>ABCDUS33</sentBy>
<sendTo>HEDGUS33</sendTo>
<creationTimestamp>2004-08-02T15:38:00Z</creationTimestamp>
</header>
<asOfDate>2004-06-02Z</asOfDate>
<dataSetName>Valuation</dataSetName>
<!-- TRS on equity (USD) -->
<position>
<positionId positionIdScheme="http://www.abc.com/positionId";>TBD</positionId>
<reportingRoles>
<baseParty href="hedge_global"/>
</reportingRoles>
<constituent>
<trade>
<tradeHeader>
<tradeDate>2009-01-01</tradeDate> <!-- tbd -->
</tradeHeader>
<returnSwap>
<productType productTypeScheme="http://www.fpml.org/product-type-simple";>TotalReturnSwap</productType> <!-- should we add equity swap or equity return swap to the scheme? -->
<assetClass assetClassScheme="http://www.fpml.org/asset-class-simple";>Equities</assetClass>
<returnLeg >
<terminationDate>
<adjustableDate>
<unadjustedDate>2010-05-16</unadjustedDate>
</adjustableDate>
</terminationDate>
<notionalAmount>
<currency>USD</currency>
<amount>406963.70</amount>
</notionalAmount>
<underlyer>
<singleUnderlyer>
<equity>
<instrumentId instrumentIdScheme="ticker">IBM</instrumentId>
<description>IBM COMMON STOCK</description>
<currency>USD</currency>
</equity>
<openUnits>106535.00</openUnits>
</singleUnderlyer>
</underlyer>
</returnLeg>
<interestLeg>
<interestCalculation>
<floatingRateCalculation>
<floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex>
<indexTenor>
<periodMultiplier>1</periodMultiplier>
<period>M</period>
</indexTenor>
<spreadSchedule>
<initialValue>0.0100</initialValue>
</spreadSchedule>
</floatingRateCalculation>
<dayCountFraction>ACT/360</dayCountFraction>
</interestCalculation>
</interestLeg>
</returnSwap>
<collateral>
<independentAmount>
<paymentDetail>
<paymentRule xsi:type="PercentageRule">
<paymentPercent>0.0025</paymentPercent>
</paymentRule>
</paymentDetail>
</independentAmount>
</collateral>
</trade>
</constituent>
<valuation>
<quote>
<value>437858.85</value>
<measureType>NPV</measureType>
<currency>USD</currency>
<currencyType>QuoteCurrency</currencyType>
</quote>
<quote>
<value>437858.85</value>
<measureType>NPV</measureType>
<currency>USD</currency>
<currencyType>ReportCurrency</currencyType>
</quote>
<quote>
<value>306109.38</value>
<measureType>NPV</measureType>
<currency>EUR</currency>
<currencyType>UnitCurrency</currencyType>
</quote>
<quote>
<value>437858.85</value>
<measureType>NPV</measureType>
<currency>USD</currency>
<currencyType>SettlementCurrency</currencyType>
</quote>
<fxRate>
<quotedCurrencyPair>
<currency1>EUR</currency1> <!-- base currency -->
<currency2>USD</currency2> <!-- quote currency -->
<quoteBasis>Currency2PerCurrency1</quoteBasis> <!-- units of quote ccy equiv to 1 unit of base ccy -->
</quotedCurrencyPair>
<rate>1.43040</rate>
</fxRate>
</valuation>
</position>
<!-- TRS on equity (EUR) -->
<position>
<positionId positionIdScheme="http://www.abc.com/positionId";>TBD</positionId>
<reportingRoles>
<baseParty href="hedge_asia"/>
</reportingRoles>
<constituent>
<trade>
<tradeHeader>
<tradeDate>2009-01-01</tradeDate> <!-- tbd -->
</tradeHeader>
<returnSwap>
<productType productTypeScheme="http://www.fpml.org/product-type-simple";>TotalReturnSwap</productType> <!-- should we add equity swap or equity return swap to the scheme? -->
<assetClass assetClassScheme="http://www.fpml.org/asset-class-simple";>Equities</assetClass>
<returnLeg >
<terminationDate>
<adjustableDate>
<unadjustedDate>2010-08-26</unadjustedDate>
</adjustableDate>
</terminationDate>
<notionalAmount>
<currency>EUR</currency>
<amount>21999990.62</amount>
</notionalAmount>
<underlyer>
<singleUnderlyer>
<equity>
<instrumentId instrumentIdScheme="ticker">DB</instrumentId>
<description>DB COMMON STOCK</description>
<currency>EUR</currency>
</equity>
<openUnits>124013.00</openUnits>
</singleUnderlyer>
</underlyer>
</returnLeg>
<interestLeg>
<interestCalculation>
<floatingRateCalculation>
<floatingRateIndex>EUR-EURIBOR-BBA</floatingRateIndex>
<indexTenor>
<periodMultiplier>1</periodMultiplier>
<period>M</period>
</indexTenor>
<spreadSchedule>
<initialValue>0.0100</initialValue>
</spreadSchedule>
</floatingRateCalculation>
<dayCountFraction>ACT/360</dayCountFraction>
</interestCalculation>
</interestLeg>
</returnSwap>
<collateral>
<independentAmount>
<paymentDetail>
<paymentRule xsi:type="PercentageRule">
<paymentPercent>0.0005</paymentPercent>
</paymentRule>
</paymentDetail>
</independentAmount>
</collateral>
</trade>
</constituent>
<valuation>
<quote>
<value>2178288.34</value>
<measureType>NPV</measureType>
<currency>EUR</currency>
<currencyType>QuoteCurrency</currencyType>
</quote>
<quote>
<value>3115823.64</value>
<measureType>NPV</measureType>
<currency>USD</currency>
<currencyType>ReportCurrency</currencyType>
</quote>
<quote>
<value>289688388.05</value>
<measureType>NPV</measureType>
<currency>JPY</currency>
<currencyType>UnitCurrency</currencyType>
</quote>
<quote>
<value>2178288.34</value>
<measureType>NPV</measureType>
<currency>EUR</currency>
<currencyType>SettlementCurrency</currencyType>
</quote>
<fxRate>
<quotedCurrencyPair>
<currency1>EUR</currency1> <!-- base currency -->
<currency2>USD</currency2> <!-- quote currency -->
<quoteBasis>Currency2PerCurrency1</quoteBasis> <!-- units of quote ccy equiv to 1 unit of base ccy -->
</quotedCurrencyPair>
<rate>1.43040</rate>
</fxRate>
<fxRate>
<quotedCurrencyPair>
<currency1>EUR</currency1> <!-- base currency -->
<currency2>JPY</currency2> <!-- quote currency -->
<quoteBasis>Currency2PerCurrency1</quoteBasis> <!-- units of quote ccy equiv to 1 unit of base ccy -->
</quotedCurrencyPair>
<rate>132.989</rate>
</fxRate>
</valuation>
</position>
<!-- OTC equity option -->
<position>
<positionId positionIdScheme="http://www.abc.com/positionId";>TBD</positionId>
<reportingRoles>
<baseParty href="hedge_global"/>
</reportingRoles>
<constituent>
<trade>
<tradeHeader>
<tradeDate>2007-11-26</tradeDate>
</tradeHeader>
<equityOption>
<productType productTypeScheme="http://www.fpml.org/product-type-simple";>EquityOption</productType> <!-- should we add equity swap or equity return swap to the scheme? -->
<assetClass assetClassScheme="http://www.fpml.org/asset-class-simple";>Equities</assetClass>
<buyerPartyReference href="hedge_global"/>
<underlyer>
<singleUnderlyer>
<equity>
<instrumentId instrumentIdScheme="ticker">IBM</instrumentId>
<description>IBM COMMON STOCK</description>
</equity>
</singleUnderlyer>
</underlyer>
<notionalAmount>
<currency>USD</currency>
<amount>1480000</amount>
</notionalAmount>
<numberOfOptions>1000000</numberOfOptions>
<optionType>Put</optionType>
<strike>
<strikePrice>80</strikePrice>
</strike>
<americanExercise>
<expirationDate>
<adjustableDate>
<unadjustedDate>2010-01-15Z</unadjustedDate>
</adjustableDate>
</expirationDate>
</americanExercise>
<premium>
<pricePerOption>
<currency>USD</currency>
<amount>1.48</amount>
</pricePerOption>
</premium>
</equityOption>
</trade>
</constituent>
<valuation>
<quote>
<value>1050000.00</value>
<measureType>NPV</measureType>
<currency>USD</currency>
<currencyType>QuoteCurrency</currencyType>
</quote>
<quote>
<value>1050000.00</value>
<measureType>NPV</measureType>
<currency>USD</currency>
<currencyType>ReportCurrency</currencyType>
</quote>
<quote>
<value>734060.40</value>
<measureType>NPV</measureType>
<currency>EUR</currency>
<currencyType>UnitCurrency</currencyType>
</quote>
<quote>
<value>1050000.00</value>
<measureType>NPV</measureType>
<currency>USD</currency>
<currencyType>SettlementCurrency</currencyType>
</quote>
<fxRate>
<quotedCurrencyPair>
<currency1>EUR</currency1> <!-- base currency -->
<currency2>USD</currency2> <!-- quote currency -->
<quoteBasis>Currency2PerCurrency1</quoteBasis> <!-- units of quote ccy equiv to 1 unit of base ccy -->
</quotedCurrencyPair>
<rate>1.43040</rate>
</fxRate>
</valuation>
</position>
<party id="party1">
<partyId>ABCDUS33</partyId>
<partyName>ABCD Securities Inc.</partyName>
</party>
<party id="hedge_global">
<partyId>HEDG-GLOB</partyId>
<partyName>HedgeCo Global Growth</partyName>
</party>
<party id="hedge_asia">
<partyId>HEDG-ASIA</partyId>
<partyName>HedgeCo Asia Fund</partyName>
</party>
</positionReport>