FxSwapLeg

A type defining the details for one of the transactions in an FX swap.

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Field	Type	Description	Print form title	FFSM title	Properties	Conditions
@id	xsd:ID				1-1, ncf
tradeIdentifierReference	PartyTradeIdentifierReference	A reference to a party trade ID. This is provided in case the message creator wishes to record that the swap leg is assocatiated with a particular trade identifier; typically this is used for identifying a USI assocatied with the leg.	Party trade ID.		0-1, ncf	This is not used in messages to the repository.
exchangedCurrency1	Payment	This is the first of the two currency flows that define a single leg of a standard foreign exchange transaction.	Exchanged Currency 1.		1-1, mre
exchangedCurrency2	Payment	This is the second of the two currency flows that define a single leg of a standard foreign exchange transaction.	Exchanged Currency 2.		1-1, mre
dealtCurrency	DealtCurrencyEnum	Indicates which currency was dealt.	Dealt Currency (Underlying Currency).	Underlying asset code.	0-1, mre, mfr	Mandatory element for messages to NSD repository. This is to be included in case of regulatory required reporting for specifying a currency of the FX transaction as underlying asset.
Choice begin
Branch1
tenorName		A tenor expressed with a standard business term (i.e. Spot, TomorrowNext, etc.).	Tenor name.		1-1, ncf
Branch2
tenorPeriod	Period	A tenor expressed as a period type and multiplier (e.g. 1D, 1Y, etc.).	Tenor period.		1-1, ncf
Choice end
Choice begin
Branch1
valueDate	xsd:date	The date on which both currencies traded will settle.	Value date.	Payment date.	1-1, mre, mfr	Conditionally filled element. This is to be included in case of reporting information about single value date for both currencies of the transaction. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
Branch2
currency1ValueDate	xsd:date	The date on which the currency1 amount will be settled. To be used in a split value date scenario.	Currency 1 value date.	Payment date.	1-1, mre, mfr	Conditionally filled element. This is to be included in case of reporting information about different value dates for currencies of the transaction. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
currency2ValueDate	xsd:date	The date on which the currency2 amount will be settled. To be used in a split value date scenario.	Currency 2 value date.	Payment date.	1-1, mre, mfr	Conditionally filled element. This is to be included in case of reporting information about different value dates for currencies of the transaction. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
Choice end
exchangeRate	ExchangeRate	The rate of exchange between the two currencies.	Rate of exchange.	Price for unit; Forward price.	0-1, mre
nonDeliverableSettlement	FxCashSettlement	Used to describe a particular type of FX forward transaction that is settled in a single currency (for example, a non-deliverable forward).	Non-deliverable settlement.	Settlement method code.	0-1	Conditionally filled element. This is to be included in case of reporting information about cash settlement (non-deliverable settlement) of the FX transaction. In other cases this is not supposed to be used. All underlying elements are included only in specified case.

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FxSwapLeg

exchangedCurrency1(Payment)

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

payerPartyReference(PartyReference)

	A reference to the party responsible for making the payments defined by this structure.
	Party code.

receiverPartyReference(PartyReference)

	A reference to the party that receives the payments corresponding to this structure.
	Party code.

paymentAmount(NonNegativeMoney)

	The currency amount of the payment. For the purposes of reporting to the repository, amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(NonNegativeDecimal)

	The non negative monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.
	Total payment.
	[0;

exchangedCurrency2(Payment)

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

payerPartyReference(PartyReference)

	A reference to the party responsible for making the payments defined by this structure.
	Party code.

receiverPartyReference(PartyReference)

	A reference to the party that receives the payments corresponding to this structure.
	Party code.

paymentAmount(NonNegativeMoney)

	The currency amount of the payment. For the purposes of reporting to the repository, amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(NonNegativeDecimal)

	The non negative monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.
	Total payment.
	[0;

dealtCurrency(DealtCurrencyEnum)

	Mandatory element for messages to NSD repository. This is to be included in case of regulatory required reporting for specifying a currency of the FX transaction as underlying asset.
	Indicates which currency was dealt.
	Underlying asset code.
	ExchangedCurrency1;ExchangedCurrency2;

A choice of the value dates.

valueDate(date)

	Conditionally filled element. This is to be included in case of reporting information about single value date for both currencies of the transaction. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	The date on which both currencies traded will settle.
	Payment date.

Sequence

currency1ValueDate(date)

	Conditionally filled element. This is to be included in case of reporting information about different value dates for currencies of the transaction. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	The date on which the currency1 amount will be settled. To be used in a split value date scenario.
	Payment date.

currency2ValueDate(date)

	Conditionally filled element. This is to be included in case of reporting information about different value dates for currencies of the transaction. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	The date on which the currency2 amount will be settled. To be used in a split value date scenario.
	Payment date.

exchangeRate(ExchangeRate)

	The rate of exchange between the two currencies.
	Price for unit; Forward price.

quotedCurrencyPair(QuotedCurrencyPair)

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

currency1(Currency)

	The first currency specified when a pair of currencies is to be evaluated.

currency2(Currency)

	The second currency specified when a pair of currencies is to be evaluated.

quoteBasis(QuoteBasisEnum)

	The method by which the exchange rate is quoted.
	Currency1PerCurrency2;Currency2PerCurrency1;

rate(PositiveDecimal)

	The rate of exchange between the two currencies of the leg of a deal. Must be specified with a quote basis. For the purposes of reporting to the repository, rate is specified with 7 decimal places. For example, 30.1234567. The value of 30.45 would be represented as 30.4500000.
	Price for unit; Forward price.
	(0;

nonDeliverableSettlement(FxCashSettlement)

	Conditionally filled element. This is to be included in case of reporting information about cash settlement (non-deliverable settlement) of the FX transaction. In other cases this is not supposed to be used. All underlying elements are included only in specified case.
	Used to describe a particular type of FX forward transaction that is settled in a single currency (for example, a non-deliverable forward).
	Settlement method code.

settlementCurrency(Currency)

	The currency in which cash settlement occurs for non-deliverable forwards and cash-settled options (non-deliverable or otherwise).
	Code of payment currency.

fixing(FxFixing)

	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. This element is optional, permitting it to be omitted where fixing details are unavailable at the point of message creation. It has multiple occurrence to support the case where fixing details must be specified for more than one currency pair e.g. on an option settled into a third currency (that is not one of the option currencies).
	Code of price source.

quotedCurrencyPair(QuotedCurrencyPair)

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

currency1(Currency)

	The first currency specified when a pair of currencies is to be evaluated.

currency2(Currency)

	The second currency specified when a pair of currencies is to be evaluated.

quoteBasis(QuoteBasisEnum)

	The method by which the exchange rate is quoted.
	Currency1PerCurrency2;Currency2PerCurrency1;

fixingDate(date)

	Describes the specific date when a non-deliverable forward or cash-settled option will "fix" against a particular rate, which will be used to compute the ultimate cash settlement. This element should be omitted where a single, discrete fixing date cannot be identified e.g. on an american option, where fixing may occur at any date on a continuous range.

fxSpotRateSource(FxSpotRateSource)

	Specifies the methodology (reference source and, optionally, fixing time) to be used for determining a currency conversion rate.
	Code of price source.

primaryRateSource(InformationSource)

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

rateSource(InformationProvider)

An information source for obtaining a market rate. For example Bloomberg, Reuters, Telerate etc.