Hello, could you please clarify how the intermediateExchange amounts (small amounts of money transferred between the parties to compensate exchange rate fluctuations) are represented in the cashflow with mark-to-market condition? For instance, in Cross Currency instruments. Could you please provide some examples? Regards, Iuliia Sydorenko
Hello, Could you please clarify the question bellow. According to the fpml ird-5-12 scheme, can the <relativeEffectiveDate> structure be at the same time with the <terminationDate> structure in the same swap? This question arose because the fpml validator does not display an error on such a structure where we have <relativeEffectiveDate> and <terminationDate>. At the … Continued
Hello, Could you please clarify which version of ISDA definitions should be used when dealing with fpml-eq-shared-5-12 schema for Return Swap with a Bond underlyer. The definitions of many elements of this schema refer to ISDA 2002 Equity Derivatives Definitions. Is it correct to consider this version of ISDA Equity Derivatives Definitions for other underlying … Continued
Hello, could you please clarify how the knownAmountSchedule section will be represented for the Cross Currency fixed/floating IR Swap instrument? Do I understand correctly that for such an instrument, the <step> section inside <knownAmountSchedule> should be applied. For example I expect the following representation: <knownAmountSchedule> <initialValue>1000000</initialValue> <step> <stepDate>2023-09-05</stepDate> <stepValue>1500000</stepValue> </step> <currency>EUR</currency> </knownAmountSchedule> where <initialValue> will … Continued
Hello, Could you please clarify 2.45 Example 37 – Zero Coupon Swap Known Amount Schedule. Based on the terms of the example, in which the effective date is 2008-09-18 and the trade date is 2014-11-17, i.e., the effective date is earlier than the trade date, this example describes a backdated trade. Accordingly, we expect the … Continued
Hello, Could you please clarify is the <knownAmountSchedule> section from fpml-ird-5-12 only applicable for Zero Coupon transactions with payment frequency 1T? Or it can be presented for all types of transactions? Regards, Iuliia
Hello, Could you please clarify the following questions on the <knownAmountSchedule> section from fpml-ird-5-12 schema? 1. Can the <knownAmountSchedule> section be applied to a floating leg in the IRS fixed/float instrument? 2. When <knownAmountSchedule> section is applied, <calculation> section is not applied? Or there can be simultaneously <knownAmountSchedule> and <calculation> sections in one swap stream?
Hello, could you please clarify how the cashflow for IRS fixed/float instrument will look like when <cashflowsMatchParameters>is set to ‘false’. Do I correctly understand that in this case the <paymentCalculationPeriod> section would be available in cashflow and will contain <unadjustedPaymentDate> instead of <adjustedPaymentDate>? Could you please provide some examples for IRS fixed/float instrument with cashflow … Continued
Hello, Could you please clarify the question of a content of cashflow for cross-currency fixed/float swap with mark-to-market condition. We are currently considering Example 26 (2.34 Example 26 – Fixed/Floating IRS Where The Floating Stream Notional Is Reset Based On Prevailing Spot Exchange Rate – Cashflows) where the conditions of the mark-to-market are met, i.e. … Continued
Could please clarify FpML example “2.66 Example 58 – Cross Currency Swap with Lookback Compound computed floating rate”. This example uses an overnight index and includes two sections: Calculation Parameters and Reset Dates . However, in the FpML schema ird-5-12 there is the description of the Calculation Parameters Section which notes that “when the Calculation … Continued