FpML Issues Tracker

1287: Calculation Parameters Section with Reset Dates Section

March 3, 2023

closed

Tweak

Always

Examples/Test Cases

5.13 Second Working Draft (Build 2)

XAPWG

Iuliia

BrianLynn

Summary

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 Parameters structure is used, the "resetDates" structure will not be used. Instead, the observation rules for the calculated rate are defined within the structure."

In this example, both sections are present at the same time, so the question is:

Could this be an error in the example? If it is not an error, in which cases are both sections used simultaneously?

Also could you please give clarification about the Calculation Parameters structure. Does this section only apply to overnight indices or whether this section can also be applied in documents with floating rate indices?

Thank you in advance.

 

Notes:

  • JasonPolis

    04/26/23 1:34 pm

    Discussed at XAPWG.

    Confirmed that the example 58 has the reported errors.
    Example 45 correctly omits the resetDate structure.

    BL to amend example to remove resetDate structure, and attach to ticket for review.

     

  • Iuliia

    05/02/23 5:38 am

    Thank you for answer.

    Could you please give clarification about the Calculation Parameters structure. Does this section only apply to overnight indices or whether this section can also be applied in documents with floating rate indices?

  • BrianLynn

    05/08/23 6:19 pm

    I’ve attached an updated example 58 omitting the resetDates structure, which should have been removed:

    <?xml version=”1.0″ encoding=”utf-8″?>
    <!–
    == Copyright (c) 2014-2021 All rights reserved.
    == Financial Products Markup Language is subject to the FpML public license.
    == A copy of this license is available at http://www.fpml.org/license/license.html
    –>
    <dataDocument xmlns=”http://www.fpml.org/FpML-5/master” xmlns:xsi=”http://www.w3.org/2001/XMLSchema-instance” fpmlVersion=”5-12″ xsi:schemaLocation=”http://www.fpml.org/FpML-5/master ../../../schema/fpml-main.xsd http://www.w3.org/2000/09/xmldsig# ../../../schema/xmldsig-core-schema.xsd”>
    <trade>
    <tradeHeader>
    <partyTradeIdentifier>
    <partyReference href=”partyA”/>
    <tradeId tradeIdScheme=”http://www.partyA.com/swaps/trade-id”>FpML-test-6</tradeId>
    </partyTradeIdentifier>
    <tradeDate>2018-09-09</tradeDate>
    </tradeHeader>
    <swap>
    <productType>InterestRate:CrossCurrency:FixedFloat</productType>
    <productId>64209467</productId>
    <swapStream id=”CrossCurrencySwap-64209467-Floating-leg-2″>
    <payerPartyReference href=”partyB”/>
    <receiverPartyReference href=”partyA”/>
    <calculationPeriodDates id=”calculationPeriodDates-64209467-672″>
    <effectiveDate>
    <unadjustedDate>2018-09-10</unadjustedDate>
    <dateAdjustments>
    <businessDayConvention>NONE</businessDayConvention>
    <businessCenters>
    <businessCenter>GBLO</businessCenter>
    <businessCenter>USNY</businessCenter>
    <businessCenter>JPTO</businessCenter>
    </businessCenters>
    </dateAdjustments>
    </effectiveDate>
    <terminationDate id=”terminationDate-64209467-673″>
    <unadjustedDate>2023-09-10</unadjustedDate>
    <dateAdjustments>
    <businessDayConvention>MODFOLLOWING</businessDayConvention>
    <businessCenters>
    <businessCenter>GBLO</businessCenter>
    <businessCenter>USNY</businessCenter>
    <businessCenter>JPTO</businessCenter>
    </businessCenters>
    </dateAdjustments>
    </terminationDate>
    <calculationPeriodDatesAdjustments>
    <businessDayConvention>NONE</businessDayConvention>
    <businessCenters>
    <businessCenter>GBLO</businessCenter>
    <businessCenter>USNY</businessCenter>
    <businessCenter>JPTO</businessCenter>
    </businessCenters>
    </calculationPeriodDatesAdjustments>
    <calculationPeriodFrequency>
    <periodMultiplier>3</periodMultiplier>
    <period>M</period>
    <rollConvention>10</rollConvention>
    </calculationPeriodFrequency>
    </calculationPeriodDates>
    <paymentDates>
    <calculationPeriodDatesReference href=”calculationPeriodDates-64209467-672″/>
    <paymentFrequency>
    <periodMultiplier>6</periodMultiplier>
    <period>M</period>
    </paymentFrequency>
    <payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
    <paymentDatesAdjustments>
    <businessDayConvention>MODFOLLOWING</businessDayConvention>
    <businessCenters>
    <businessCenter>GBLO</businessCenter>
    <businessCenter>USNY</businessCenter>
    <businessCenter>JPTO</businessCenter>
    </businessCenters>
    </paymentDatesAdjustments>
    </paymentDates>
    <calculationPeriodAmount>
    <calculation>
    <notionalSchedule>
    <notionalStepSchedule>
    <initialValue>121700000</initialValue>
    <currency>USD</currency>
    </notionalStepSchedule>
    </notionalSchedule>
    <floatingRateCalculation>
    <floatingRateIndex>USD-SOFR</floatingRateIndex>
    <calculationParameters>
    <calculationMethod>Compounding</calculationMethod>
    <lookback>
    <offsetDays>5</offsetDays>
    </lookback>
    </calculationParameters>
    <spreadSchedule>
    <initialValue>0.005</initialValue>
    </spreadSchedule>
    <initialRate>1.2</initialRate>
    </floatingRateCalculation>
    <dayCountFraction>ACT/360</dayCountFraction>
    </calculation>
    </calculationPeriodAmount>
    <principalExchanges>
    <initialExchange>true</initialExchange>
    <finalExchange>true</finalExchange>
    <intermediateExchange>false</intermediateExchange>
    </principalExchanges>
    <cashflows>
    <cashflowsMatchParameters>false</cashflowsMatchParameters>
    <principalExchange>
    <unadjustedPrincipalExchangeDate>2018-09-10</unadjustedPrincipalExchangeDate>
    <principalExchangeAmount>-121700000</principalExchangeAmount>
    </principalExchange>
    <principalExchange>
    <unadjustedPrincipalExchangeDate>2023-09-10</unadjustedPrincipalExchangeDate>
    <principalExchangeAmount>121700000</principalExchangeAmount>
    </principalExchange>
    </cashflows>
    </swapStream>
    <swapStream id=”CrossCurrencySwap-64209467-Fixed-leg-1″>
    <payerPartyReference href=”partyA”/>
    <receiverPartyReference href=”partyB”/>
    <calculationPeriodDates id=”calculationPeriodDates-64209467-669″>
    <effectiveDate>
    <unadjustedDate>2018-09-10</unadjustedDate>
    <dateAdjustments>
    <businessDayConvention>NONE</businessDayConvention>
    <businessCenters>
    <businessCenter>GBLO</businessCenter>
    <businessCenter>USNY</businessCenter>
    <businessCenter>JPTO</businessCenter>
    </businessCenters>
    </dateAdjustments>
    </effectiveDate>
    <terminationDate id=”terminationDate-64209467-670″>
    <unadjustedDate>2023-09-10</unadjustedDate>
    <dateAdjustments>
    <businessDayConvention>MODFOLLOWING</businessDayConvention>
    <businessCenters>
    <businessCenter>GBLO</businessCenter>
    <businessCenter>USNY</businessCenter>
    <businessCenter>JPTO</businessCenter>
    </businessCenters>
    </dateAdjustments>
    </terminationDate>
    <calculationPeriodDatesAdjustments>
    <businessDayConvention>NONE</businessDayConvention>
    <businessCenters>
    <businessCenter>GBLO</businessCenter>
    <businessCenter>USNY</businessCenter>
    <businessCenter>JPTO</businessCenter>
    </businessCenters>
    </calculationPeriodDatesAdjustments>
    <calculationPeriodFrequency>
    <periodMultiplier>6</periodMultiplier>
    <period>M</period>
    <rollConvention>10</rollConvention>
    </calculationPeriodFrequency>
    </calculationPeriodDates>
    <paymentDates>
    <calculationPeriodDatesReference href=”calculationPeriodDates-64209467-669″/>
    <paymentFrequency>
    <periodMultiplier>6</periodMultiplier>
    <period>M</period>
    </paymentFrequency>
    <payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
    <paymentDatesAdjustments>
    <businessDayConvention>MODFOLLOWING</businessDayConvention>
    <businessCenters>
    <businessCenter>GBLO</businessCenter>
    <businessCenter>USNY</businessCenter>
    <businessCenter>JPTO</businessCenter>
    </businessCenters>
    </paymentDatesAdjustments>
    </paymentDates>
    <calculationPeriodAmount>
    <calculation>
    <notionalSchedule>
    <notionalStepSchedule>
    <initialValue>100500000</initialValue>
    <currency>JPY</currency>
    </notionalStepSchedule>
    </notionalSchedule>
    <fixedRateSchedule>
    <initialValue>-0.00385</initialValue>
    </fixedRateSchedule>
    <dayCountFraction>ACT/365.FIXED</dayCountFraction>
    <compoundingMethod>Flat</compoundingMethod>
    </calculation>
    </calculationPeriodAmount>
    <principalExchanges>
    <initialExchange>true</initialExchange>
    <finalExchange>true</finalExchange>
    <intermediateExchange>false</intermediateExchange>
    </principalExchanges>
    <cashflows>
    <cashflowsMatchParameters>false</cashflowsMatchParameters>
    <principalExchange>
    <unadjustedPrincipalExchangeDate>2018-09-10</unadjustedPrincipalExchangeDate>
    <principalExchangeAmount>-100500000</principalExchangeAmount>
    </principalExchange>
    <principalExchange>
    <unadjustedPrincipalExchangeDate>2023-09-10</unadjustedPrincipalExchangeDate>
    <principalExchangeAmount>100500000</principalExchangeAmount>
    </principalExchange>
    </cashflows>
    </swapStream>
    </swap>
    <calculationAgent>
    <calculationAgentPartyReference href=”partyA”/>
    </calculationAgent>
    <documentation>
    <contractualDefinitions>ISDA2021</contractualDefinitions>
    </documentation>
    </trade>
    <party id=”partyA”>
    <partyId partyIdScheme=”http://www.fpml.org/coding-scheme/external/iso17442″>549300ABANKV6BYQOWM67</partyId>
    <partyName>A BANK(“ABANK”)</partyName>
    </party>
    <party id=”partyB”>
    <partyId partyIdScheme=”http://www.fpml.org/coding-scheme/external/iso17442″>529900CPTY57S5UCBB52</partyId>
    <partyName>SELL SECURITIES CO LTD (“Counterparty”)</partyName>
    </party>
    </dataDocument>

     

  • JasonPolis

    05/11/23 7:29 am

    Added to next draft.

  • jbaserba

    03/18/24 11:29 am

    Change published as part of FpML 5.13 Working Draft 2 on July 31st 2023:

    https://www.fpml.org/spec/fpml-5-13-2-wd-2/html/recordkeeping/index.html

    Marked as closed.

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