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General FpML Discussion › Technical & Implementation Questions › XCcySwap: intermediateExchange element

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  • August 5, 2013 at 9:18 am #2145
    Hammer
    Spectator

    Dear all This question relates to the intermediateExchange element in the FpML of a XCcySwap. What would be its value for the business case described below? There is a XCcySwap which has principal payments during its lifetime, but there is no principal exchange in the sense of both parties pay / receive principal at the same date. Example: A EUR/USD XCcySwap is traded between party A and party B. Due to Exchange Rate movements party A has to pay 1m USD principal on 1st Feb to party B. Party B doesn’t pay anything. On 1st Mar party A has again to pay principal, this time it is 2m USD, party B doesn’t pay. As the exchange rate movements change, party B has to pay 1m EUR on 1st Apr. This time, party A doesn’t have to pay anything. For such trades, shall intermediateExchange be true or false? Thanks and regards, Christoph

    August 6, 2013 at 12:54 pm #2146
    stanetra1
    Member

    The best practice is to check how the trade was confirmed. This should drive the FpML representation.

    August 30, 2013 at 5:07 am #2154
    andrew
    Spectator

    For a standard cross currency swap there would be only initial and final exchanges of principal (unless you have an amortisation/accretion schedule in the notional amounts). If the principal on one leg is recalculated periodically then you should be using the fxLinkedNotionalSchedule and there may be intermediate exchanges of principal to reflect rate changes.

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