FpML Financial product Markup Language
Working Draft 17 April 2002

An entity that represents a physical postal address

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• The set of street and building number information that identifies a postal address within a city.

• The city component of a postal address.

• A country subdivision used in postal addresses in some countries. For example, US states, Canadian provinces, Swiss cantons.

Used by:

routingAddress

DTD Fragment:

<!ENTITY % FpML_Address "streetAddress* , city? , state? , country? , postalCode?">

An entity that is based upon the FpML_Payment entity, this allows for settlement instructions to be included as well. This entity, which represents the payment of an amount of currency from one party to another, is one of the key ingredients used for representing a standard foreign exchange transaction.

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• An entity for defining a payment between two parties.

• The information required to settle a currency payment that results from a trade.

Used by:

exchangedCurrency1
exchangedCurrency2

DTD Fragment:

<!ENTITY % FpML_CurrencyFlow "%FpML_Payment; , settlementInformation?">

An entity that describes the date and time in a location of the option expiry. In the case of American options this is the latest possible expiry date and time.

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• Represents a standard expiry date as defined for an FX OTC option.

• An entity for defining a time with respect to a business center location. For example, 11:00 am London time.

Used by:

expiryDateTime

DTD Fragment:

<!ENTITY % FpML_ExpiryDateTime "expiryDate , %FpML_BusinessCenterTime; , cutName?">

An entity that defines a particular type of payout in an FX OTC exotic option. An American trigger occurs if the trigger criteria are met at any time from the initiation to the maturity of the option.

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Used by:

fxAmericanTrigger

DTD Fragment:

<!ENTITY % FpML_FXAmericanTrigger "touchCondition , quotedCurrencyPair , triggerRate , informationSource+ , observationStartDate? , observationEndDate?">

An entity that, for average rate options, is used to describe each specific observation date, as opposed to a parametric frequency of rate observations.

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• A specific date for which an observation against a particular rate will be made and will be used for subsequent computations.

• An optional factor that can be used for weighting certain observation dates. Typically, firms will weight each date with a factor of 1 if there are standard, unweighted adjustments.

Used by:

averageRateObservationDate

DTD Fragment:

<!ENTITY % FpML_FXAverageRateObservationDate "observationDate , averageRateWeightingFactor">

An entity that describes average rate options rate observations. This is used to describe a parametric frequency of rate observations against a particular rate. Typical frequencies might include daily, every Friday, etc.

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• The start of the period over which observations are made to determine whether a trigger event has occurred.

• The end of the period over which observations are made to determine whether a trigger event has occurred.

• The frequency at which calculation period end dates occur within the regular part of the calculation period schedule and their roll date convention.

Used by:

averageRateObservationSchedule

DTD Fragment:

<!ENTITY % FpML_FXAverageRateObservationSchedule "observationStartDate , observationEndDate , calculationPeriodFrequency">

An entity that is used for an option whose payout is based on the average of the price of the underlying over a specific period of time. The payout is the difference between the predetermined, fixed strike price and the average of spot rates observed and is used for hedging against prevailing spot rates over a given time period.

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• The base entity which all FpML products extend.

• A pointer style reference to a party identifier defined elsewhere in the document. The party referenced is the buyer of the instrument.

• A pointer style reference to a party identifier defined elsewhere in the document. The party referenced is the seller of the instrument.

• The date and time in a location of the option expiry. In the case of american options this is the latest possible expiry date and time.

Used by:

fxAverageRateOption

DTD Fragment:

<!ENTITY % FpML_FXAverageRateOption "%FpML_Product; , buyerPartyReference , sellerPartyReference , expiryDateTime , exerciseStyle , fxOptionPremium* , valueDate , putCurrencyAmount , callCurrencyAmount , fxStrikePrice , spotRate? , payoutCurrency , averageRateQuoteBasis , precision? , payoutFormula? , primaryRateSource , secondaryRateSource? , fixingTime , (averageRateObservationSchedule | averageRateObservationDate+) , observedRates*">

An entity that is used within the FX barrier option definition to define one or more barrier levels that determine whether the option will be knocked-in or knocked-out.

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Used by:

fxBarrier

DTD Fragment:

<!ENTITY % FpML_FXBarrier "fxBarrierType? , quotedCurrencyPair , triggerRate , informationSource+ , observationStartDate? , observationEndDate?">

An entity that describes an option with a put/call component, but also one or more associated barrier rates. If the market rate moves to reach a barrier rate a trigger event occurs. The trigger event may for example be necessary to enable the option, or may annul the option contract. [Since the barriers reduce the probability of exercise, the premium for an option with barriers is likely to be cheaper than one without].

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• An entity that is used for describing a standard FX OTC option (European or American) which may be a complete trade in its own right or part of a trade strategy.

• An optional element used for FX forwards and certain types of FX OTC options. For deals consumated in the FX Forwards Market, this represents the current market rate for a particular currency pair. For barrier and digital/binary options, it can be useful to include the spot rate at the time the option was executed to make it easier to know whether the option needs to move "up" or "down" to be triggered.

• Information about a barrier rate in a Barrier Option - specifying the exact criteria for a trigger event to occur.

• The amount of currency which becomes payable if and when a trigger event occurs.

Used by:

fxBarrierOption

DTD Fragment:

<!ENTITY % FpML_FXBarrierOption "%FpML_FXOptionLeg; , spotRate? , fxBarrier+ , triggerPayout?">

An entity that is used for describing cash settlement of an option / non deliverable forward. It includes the currency to settle into together with the fixings required to calculate the currency amount.

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Used by:

cashSettlementTerms
nonDeliverableForward

DTD Fragment:

<!ENTITY % FpML_FXCashSettlement "settlementCurrency , fixing+">

An entity that describes an option without a put/call component (and so no associated exercise), but with one or more trigger rates) Examples are "one-touch", "no-touch", and "double-no-touch" options. For a specified period the market rate is observed relative to the trigger rates, and on a trigger event a fixed payout may become due to the buyer of the option, or alternatively the option contract may be annulled.

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• The base entity which all FpML products extend.

• A pointer style reference to a party identifier defined elsewhere in the document. The party referenced is the buyer of the instrument.

• A pointer style reference to a party identifier defined elsewhere in the document. The party referenced is the seller of the instrument.

• The date and time in a location of the option expiry. In the case of american options this is the latest possible expiry date and time.

• Premium amount or premium installment amount for an option.

• The date on which both currencies traded will settle.

• Defines the two currencies for an FX trade and the quotation relationship between the two currencies.

• An optional element used for FX forwards and certain types of FX OTC options. For deals consumated in the FX Forwards Market, this represents the current market rate for a particular currency pair. For barrier and digital/binary options, it can be useful to include the spot rate at the time the option was executed to make it easier to know whether the option needs to move "up" or "down" to be triggered.

fxEuropeanTrigger (one or more occurrences; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_FXEuropeanTrigger)



• A European trigger occurs if the trigger criteria are met, but these are valid (and an observation is made) only at the maturity of the option.

fxAmericanTrigger (one or more occurrences; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_FXAmericanTrigger)



• An American trigger occurs if the trigger criteria are met at any time from the initiation to the maturity of the option.

• The amount of currency which becomes payable if and when a trigger event occurs.

Used by:

fxDigitalOption

DTD Fragment:

<!ENTITY % FpML_FXDigitalOption "%FpML_Product; , buyerPartyReference , sellerPartyReference , expiryDateTime , fxOptionPremium* , valueDate , quotedCurrencyPair , spotRate? , (fxEuropeanTrigger+ | fxAmericanTrigger+) , triggerPayout">

An entity that defines a particular type of payout in an FX OTC exotic option. A European trigger occurs if the trigger criteria are met, but these are valid (and an observation is made) only at the maturity of the option.

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Used by:

fxEuropeanTrigger

DTD Fragment:

<!ENTITY % FpML_FXEuropeanTrigger "triggerCondition , quotedCurrencyPair , triggerRate , informationSource+">

An entity that specifies the source for and timing of a fixing of an exchange rate. This is used in the agreement of non-deliverable forward trades as well as various types of FX OTC options that require observations against a particular rate.

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• Defines the two currencies for an FX trade and the quotation relationship between the two currencies.

• The primary source for where the rate observation will occur. Will typically be either a page or a reference bank published rate.

• An alternative, or secondary, source for where the rate observation will occur. Will typically be either a page or a reference bank published rate.

• Describes the specific date when a non-deliverable forward or non-deliverable option will "fix" against a particular rate, which will be used to compute the ultimate cash settlement.

• The time at which the spot currency exchange rate will be observed. It is specified as a time in a specific business center, e.g. 11:00 am London time.

Used by:

fixing

DTD Fragment:

<!ENTITY % FpML_FXFixing "quotedCurrencyPair , primaryRateSource , secondaryRateSource? , fixingDate , fixingTime">

An entity that represents a single exchange of one currency for another. This is used for representing FX spot, forward, and swap transactions.

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• The base entity which all FpML products extend.

• This is the first of the two currency flows that define a single leg of a standard foreign exchange transaction.

• This is the second of the two currency flows that define a single leg of a standard foreign exchange transaction.

valueDate (exactly one occurrence; of type date)



• The date on which both currencies traded will settle.

currency1ValueDate (exactly one occurrence; of type date)



• The date on which the currency1 amount will be settled. To be used in a split value date scenario.

currency2ValueDate (exactly one occurrence; of type date)



• The date on which the currency2 amount will be settled. To be used in a split value date scenario.

• The rate of exchange between the two currencies.

• Used to describe a particular type of FX forward transaction that is settled in a single currency.

• The party that is sending the current document as a confirmation of the trade.

Used by:

fxSingleLeg

DTD Fragment:

<!ENTITY % FpML_FXLeg "%FpML_Product; , exchangedCurrency1 , exchangedCurrency2 , (valueDate | (currency1ValueDate , currency2ValueDate)) , exchangeRate , nonDeliverableForward? , confirmationSenderPartyReference?">

An entity that is used for describing a standard FX OTC option (European or American) which may be a complete trade in its own right or part of a trade strategy.

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• The base entity which all FpML products extend.

• A pointer style reference to a party identifier defined elsewhere in the document. The party referenced is the buyer of the instrument.

• A pointer style reference to a party identifier defined elsewhere in the document. The party referenced is the seller of the instrument.

• The date and time in a location of the option expiry. In the case of american options this is the latest possible expiry date and time.

Used by:

FpML_FXBarrierOption
fxSimpleOption

DTD Fragment:

<!ENTITY % FpML_FXOptionLeg "%FpML_Product; , buyerPartyReference , sellerPartyReference , expiryDateTime , exerciseStyle , fxOptionPremium* , valueDate , cashSettlementTerms? , putCurrencyAmount , callCurrencyAmount , fxStrikePrice , quotedAs?">

An entity that contains full details of a predefined fixed payout which may occur (or not) in a Barrier Option or Digital Option when a trigger event occurs (or not).

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• An entity for defining a currency amount.

Used by:

triggerPayout

DTD Fragment:

<!ENTITY % FpML_FXOptionPayout "%FpML_Money; , payoutStyle , settlementInformation?">

An entity that specifies the premium exchanged for a single option trade or option strategy.

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• A pointer style reference to a party identifier defined elsewhere in the document.

• A pointer style reference to a party identifier defined elsewhere in the document.

• The specific currency and amount of the option premium.

• The agreed-upon date when the option premium will be settled.

• The information required to settle a currency payment that results from a trade.

• This is the option premium as quoted. It is expected to be consistent with the premiumAmount and is for information only.

Used by:

fxOptionPremium

DTD Fragment:

<!ENTITY % FpML_FXOptionPremium "payerPartyReference , receiverPartyReference , premiumAmount , premiumSettlementDate , settlementInformation? , premiumQuote?">

An entity that is used for describing the exchange rate for a particular transaction.

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• Defines the two currencies for an FX trade and the quotation relationship between the two currencies.

• The rate of exchange between the two currencies of the leg of a deal. Must be specified with a quote basis.

• An optional element used for FX forwards and certain types of FX OTC options. For deals consumated in the FX Forwards Market, this represents the current market rate for a particular currency pair. For barrier and digital/binary options, it can be useful to include the spot rate at the time the option was executed to make it easier to know whether the option needs to move "up" or "down" to be triggered.

• An optional element used for deals consumated in the FX Forwards market. Forward points represent the interest rate differential between the two currencies traded and are quoted as a preminum or a discount. Forward points are added to, or subtracted from, the spot rate to create the rate of the forward trade.

• An optional element that allow for definition of rates against base currency for non-base currency FX contracts.

Used by:

exchangeRate

DTD Fragment:

<!ENTITY % FpML_FXRate "quotedCurrencyPair , rate , spotRate? , forwardPoints? , sideRates?">

An entity that describes the rate of exchange at which the option has been struck.

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• The rate of exchange between the two currencies of the leg of a deal. Must be specified with a quote basis.

Used by:

fxStrikePrice

DTD Fragment:

<!ENTITY % FpML_FXStrikePrice "rate , strikeQuoteBasis">

An entity that describes an FX swap. This is similar to FpML_FXLeg, but contains multiple legs for a particular trade.

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• The base entity which all FpML products extend.

• A single-legged FX transaction definition (e.g., spot or forward).

Used by:

fxSwap

DTD Fragment:

<!ENTITY % FpML_FXSwap "%FpML_Product; , fxSingleLeg+">

An entity that describes the information to identify an intermediary through which payment will be made by the correspondent bank to the ultimate beneficiary of the funds.

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• A sequence number that gives the position of the current intermediary in the chain of payment intermediaries. The assumed domain value set is an ascending sequence of integers starting from 1.

• An entity that provides three alternative ways of identifying a party involved in the routing of a payment. The identification may use payment system identifiers only; actual name, address and other reference information; or a combination of both.

Used by:

intermediaryInformation

DTD Fragment:

<!ENTITY % FpML_IntermediaryInformation "intermediarySequenceNumber , %FpML_Routing;">

An entity that describes prior rate observations within average rate options. Periodically, an average rate option agreement will be struck whereby some rates have already been observed in the past but will become part of computation of the average rate of the option. This structure provides for these previously observed rates to be included in the description of the trade.

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• A specific date for which an observation against a particular rate will be made and will be used for subsequent computations.

• The actual observed rate before any required rate treatment is applied, e.g. before converting a rate quoted on a discount basis to an equivalent yield. An observed rate of 5% would be represented as 0.05.

Used by:

observedRates

DTD Fragment:

<!ENTITY % FpML_ObservedRates "observationDate , observedRate">

An entity that provides a structure for representing all the parties involved in routing a payment to an ultimate beneficiary. This can include the correspondent bank, any intermediary banks, and the beneficiary and beneficiary's bank.

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• The information required to identify the correspondent bank that will make delivery of the funds on the paying bank's behalf in the country where the payment is to be made

• Information to identify an intermediary through which payment will be made by the correspondent bank to the ultimate beneficiary of the funds.

Used by:

DTD Fragment:

<!ENTITY % FpML_PaymentRouting "correspondentInformation? , intermediaryInformation* , beneficiaryInformation?">

An entity that describes the option premium as quoted.

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• The value of the premium quote. In general this will be either a percentage or an explicit amount.

Used by:

premiumQuote

DTD Fragment:

<!ENTITY % FpML_PremiumQuote "premiumValue , premiumQuoteBasis">

An entity that describes how the option was quoted.

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quotedAs

DTD Fragment:

<!ENTITY % FpML_QuotedAs "optionOnCurrency , faceOnCurrency , quotedTenor?">

An entity that describes the composition of a rate that has been quoted or is to be quoted. This includes the two currencies and the quotation relationship between the two currencies and is used as a building block throughout the FX specification.

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quotedCurrencyPair

DTD Fragment:

<!ENTITY % FpML_QuotedCurrencyPair "currency1 , currency2 , quoteBasis">

An entity that provides three alternative ways of identifying a party involved in the routing of a payment. The identification may use payment system identifiers only; actual name, address and other reference information; or a combination of both.

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routingIds (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_RoutingIds)



• A set of unique identifiers for a party, eachone identifying the party within a payment system. The assumption is that each party will not have more than one identifier within the same payment system.

routingExplicitDetails (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_RoutingExplicitDetails)



• A set of details that is used to identify a party involved in the routing of a payment when the party does not have a code that identifies it within one of the recognized payment systems.

routingIdsAndExplicitDetails (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_RoutingIdsAndExplicitDetails)



• A combination of coded payment system identifiers and details for physical addressing for a party involved in the routing of a payment.

Used by:

FpML_IntermediaryInformation
beneficiary
beneficiaryBank
correspondentInformation

DTD Fragment:

<!ENTITY % FpML_Routing "(routingIds | routingExplicitDetails | routingIdsAndExplicitDetails)">

An entity that models name, address and supplementary textual information for the purposes of identifying a party involved in the routing of a payment.

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• A real name that is used to identify a party involved in the routing of a payment.

• A physical postal address via which a payment can be routed.

• An account number via which a payment can be routed.

• A piece of free-format text used to assist the identification of a party involved in the routing of a payment.

Used by:

FpML_RoutingIdsAndExplicitDetails
routingExplicitDetails

DTD Fragment:

<!ENTITY % FpML_RoutingExplicitDetails "routingName , routingAddress? , routingAccountNumber? , routingReferenceText*">

An entity that provides for identifying a party involved in the routing of a payment by means of one or more standard identification codes. For example, both a SWIFT BIC code and a national bank identifier may be required.

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routingIds

DTD Fragment:

<!ENTITY % FpML_RoutingIds "routingId+">

An entity that provides a combination of payment system identification codes with physical postal address details, for the purposes of identifying a party involved in the routing of a payment.

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• A set of unique identifiers for a party, eachone identifying the party within a payment system. The assumption is that each party will not have more than one identifier within the same payment system.

• An entity that models name, address and supplementary textual information for the purposes of identifying a party involved in the routing of a payment.

Used by:

routingIdsAndExplicitDetails

DTD Fragment:

<!ENTITY % FpML_RoutingIdsAndExplicitDetails "routingIds+ , %FpML_RoutingExplicitDetails;">

An entity that represents the choice of methods for settling a potential currency payment resulting from a trade: by means of a standard settlement instruction, by netting it out with other payments, or with an explicit settlement instruction.

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standardSettlementStyle (exactly one occurrence; of type string, an enumerated domain value defined by standardSettlementStyleScheme)



• An optional element used to describe how a trade will settle. This defines a scheme and is used for identifying trades that are identified as settling standard and/or flagged for settlement netting.

settlementInstruction (exactly one occurrence; contains the sub-element(s) defined by exactly one occurrence of the entity FpML_SettlementInstruction)



• An explicit specification of how a currency payment is to be made, when the payment is not netted and the route is other than the recipient's standard settlement instruction.

Used by:

settlementInformation

DTD Fragment:

<!ENTITY % FpML_SettlementInformation "standardSettlementStyle | settlementInstruction">

An entity that models a complete instruction for settling a currency payment, including the settlement method to be used, the correspondent bank, any intermediary banks and the ultimate beneficary.

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settlementInstruction

DTD Fragment:

<!ENTITY % FpML_SettlementInstruction "settlementMethod? , correspondentInformation? , intermediaryInformation* , beneficiaryBank? , beneficiary , splitSettlement*">

An entity that is used for describing a particular rate against base currency. Exists within FpML_SideRates.

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Used by:

currency1SideRate
currency2SideRate

DTD Fragment:

<!ENTITY % FpML_SideRate "currency , sideRateBasis , rate , spotRate? , forwardPoints?">

An entity that is used for including rates against base currency for non-base currency FX contracts.

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• The currency that is used as the basis for the side rates when calculating a cross rate.

• The exchange rate for the first currency of the trade against base currency.

• The exchange rate for the second currency of the trade against base currency.

Used by:

sideRates

DTD Fragment:

<!ENTITY % FpML_SideRates "baseCurrency , currency1SideRate? , currency2SideRate?">

An entity that supports the division of a gross settlement amount into a number of split settlements, each requiring its own settlement instruction.

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• One of the monetary amounts in a split settlement payment.

• The bank that acts for the ultimate beneficiary of the funds in receiving payments.

• The ultimate beneficiary of the funds. The beneficiary can be identified either by an account at the beneficiaryBank (qv) or by explicit routingInformation. This element provides for the latter.

Used by:

splitSettlement

DTD Fragment:

<!ENTITY % FpML_SplitSettlement "splitSettlementAmount , beneficiaryBank? , beneficiary">

An entity that describes the set of street and building number information that identifies a postal address within a city.

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• An individual line of street and building number information, forming part of a postal address.

Used by:

streetAddress

DTD Fragment:

<!ENTITY % FpML_StreetAddress "streetLine+">