fpml:fra

A forward rate agreement product definition.

Element information

Content

• Sequence [1..1]
  from type fpml:Product
  from group fpml:Product.model
  Sequence [0..1]
  1. fpml:primaryAssetClass [0..1]    A classification of the most important risk class of the trade. FpML defines a simple asset class categorization using a coding scheme.
  2. fpml:secondaryAssetClass [0..*]    A classification of additional risk classes of the trade, if any. FpML defines a simple asset class categorization using a coding scheme.
  3. fpml:productType [0..*]    A classification of the type of product. FpML defines a simple product categorization using a coding scheme.
  4. fpml:productId [0..*]    A product reference identifier. The product ID is an identifier that describes the key economic characteristics of the trade type, with the exception of concepts such as size (notional, quantity, number of units) and price (fixed rate, strike, etc.) that are negotiated for each transaction. It can be used to hold identifiers such as the "UPI" (universal product identifier) required by certain regulatory reporting rules. It can also be used to hold identifiers of benchmark products or product temnplates used by certain trading systems or facilities. FpML does not define the domain values associated with this element. Note that the domain values for this element are not strictly an enumerated list.
  5. fpml:embeddedOptionType [0..2]    Describes the type of any embedded optionality in the transaction that might not otherwise be apparent. Can be used to represent embedded optionality such as early termination provisions, extendible provisions, or cancelable provisions, etc., where applicable. If omitted, no embedded optionality is applicable.
  1. fpml:adjustedEffectiveDate [1..1]    The start date of the calculation period. This date should already be adjusted for any applicable business day convention. This is also the date when the observed rate is applied, the reset date.
  2. fpml:adjustedTerminationDate [1..1]    The end date of the calculation period. This date should already be adjusted for any applicable business day convention.
  3. fpml:dayCountFraction [1..1]    The day count fraction.
  4. fpml:notional [1..1]    The notional amount.
  5. fpml:fixedRate [1..1]    The calculation period fixed rate. A per annum rate, expressed as a decimal. A fixed rate of 5% would be represented as 0.05.
  6. fpml:floatingRateIndex [1..1]    
  7. fpml:indexTenor [1..*]    The ISDA Designated Maturity, i.e. the tenor of the floating rate.
  8. fpml:fraDiscounting [0..1]    Specifies whether discounting applies and, if so, what type.
  9. fpml:additionalPayment [0..*]    Additional payments between the principal parties (i.e. the parties referenced as the FRA buyer and seller).

Attributes

Used in

• Type fpml:Strategy
• Type fpml:PhysicalSettlement (Element fpml:physicalSettlement)
• Type fpml:Trade (Elements fpml:trade, fpml:originalTrade, fpml:resultingTrade, fpml:trade, fpml:originalTrade, fpml:oldTrade, fpml:trade, fpml:feeTrade, fpml:newTrade, fpml:oldTrade, fpml:trade, fpml:trade)

Substitution hierarchy

• fpml:product
  • can be substituted with fpml:fra

Sample instance

<fpml:fra>
   <fpml:primaryAssetClass>normalizedString</fpml:primaryAssetClass>
   <fpml:secondaryAssetClass>normalizedString</fpml:secondaryAssetClass>
   <fpml:productType>normalizedString</fpml:productType>
   <fpml:productId>normalizedString</fpml:productId>
   <fpml:embeddedOptionType>normalizedString</fpml:embeddedOptionType>
   <fpml:adjustedEffectiveDate id="ID">2000-01-01</fpml:adjustedEffectiveDate>
   <fpml:adjustedTerminationDate>2000-01-01</fpml:adjustedTerminationDate>
   <fpml:dayCountFraction>normalizedString</fpml:dayCountFraction>
   <fpml:notional>
      <fpml:currency>normalizedString</fpml:currency>
      <fpml:amount>1.0</fpml:amount>
   </fpml:notional>
   <fpml:fixedRate>1.0</fpml:fixedRate>
   <fpml:floatingRateIndex>normalizedString</fpml:floatingRateIndex>
   <fpml:indexTenor>
      <fpml:periodMultiplier>1</fpml:periodMultiplier>
      <fpml:period>D</fpml:period>
   </fpml:indexTenor>
   <fpml:fraDiscounting>ISDA</fpml:fraDiscounting>
   <fpml:additionalPayment>
      <fpml:payerPartyReference href="IDREF"/>
      <fpml:paymentAmount>
         <fpml:currency>normalizedString</fpml:currency>
         <fpml:amount>1.0</fpml:amount>
      </fpml:paymentAmount>
      <fpml:paymentType>normalizedString</fpml:paymentType>
   </fpml:additionalPayment>
</fpml:fra>