Narrative
Dresdner Bank Frankfurt, buys, on June 6, 2008 a EUR/USD call from Citibank New York, for the amount of USD 100,000. The premium price of the EUR/USD call purchased by Dresdner Bank, Frankfurt, is equal to 2.25% of the underlying currency and amount. The deal expiring on 2 October 2008 has a strike price of 0.959 and the expiration style is European. The two banks agree on a knock-in barrier of 0.964.
Information Flow
Message 1: SWIFT Message from Dresdner Bank, Frankfurt
 Explanation |
Format |
|---|---|
| Sender |
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| Message Type |
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| Receiver |
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| Message Text |
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| General Information |
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| Sender's Reference |
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| Type of Operation |
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| Common Reference |
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| Contract Number Party A |
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| Option Style |
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| Expiration Style |
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| Barrier Flag |
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| Non Deliverable Flag (NDO) |
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| Type of Event |
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| Party A |
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| Party B |
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| Terms and Conditions |
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| Transaction Details |
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| Buy (Sell) Indicator |
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| Trade Date |
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| Expiration Date |
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| Expiration Location and Time |
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| Final Settlement Date |
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| Premium Payment Date |
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| Premium Currency and Amount |
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| Calculation Agent |
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| Settlement Instruction for Payment of Premium |
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| Receiving Agent |
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| Vanilla Block |
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| Settlement Type |
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| Put Currency and Amount |
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| Strike |
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| Call Currency and Amount |
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| Barrier Block |
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| Type of Barrier |
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| Barrier Level |
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| Barrier Window Start and End Date |
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| Location and Time for Start Date |
:29J:USCH/1600 |
| Location and Time for End Date |
:29K:USCH/1600 |
Narrative
On 4 August 2008, the rate is 0,963, so the option knocks in. The two banks will exchange knock-in confirmations.
Message 1: SWIFT Message from Dresdner Bank, Frankfurt
| Explanation |
Format |
|---|---|
| Sender |
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| Message Type |
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| Receiver |
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| Message Text |
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| General Information |
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| Sender's Reference |
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| Related Reference |
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| Type of Operation |
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| Common Reference |
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| Contract Number Party A |
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| Option Style |
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| Expiration Style |
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| Barrier Flag |
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| Non Deliverable Flag (NDO) |
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| Type of Event |
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| Date of Trigger Hit |
|
| Location of Trigger Hit |
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| Party A |
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| Party B |
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| Terms and Conditions |
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| Transaction Details |
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| Buy (Sell) Indicator |
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| Trade Date |
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| Expiration Date |
|
| Expiration Location and Time |
|
| Final Settlement Date |
|
| Calculation Agent |
|
| Vanilla Block |
|
| Settlement Type |
|
| Put Currency and Amount |
|
| Strike |
|
| Call Currency and Amount |
|
| Barrier Block |
|
| Type of Barrier |
|
| Barrier Level |
|
| Barrier Window Start and End Date |
|
| Location and Time for Start Date |
:29J:USCH/1600 |
| Location and Time for End Date |
:29K:USCH/1600 |
Narrative
On 15 May 2008, Bank A in Frankfurt buys from Bank B in Paris a binary foreign currency option.
The expiry date is on 16 June 2008 at 18.00 Frankfurt time. Bank A pays a premium of 12,500 EUR, value 17 May, to Bank B's Frankfurt branch.
They agree on a payout amount of 1,000,000 EUR if the EUR/SGD rate is higher than 2,0678 (the unit currency is EUR) during the period going from 15 May until 16 June. The calculation agent is Bank B, Frankfurt.
Message 1: SWIFT Message from Bank A, Frankfurt
| Explanation |
Format |
|---|---|
| Sender |
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| Message Type |
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| Receiver |
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| Message Text |
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| General Information |
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| Sender's Reference |
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| Type of Operation |
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| Common Reference |
|
| Contract Number |
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| Option Style |
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| Expiration Style |
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| Barrier Indicator |
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| Non Deliverable |
|
| Type of Event |
|
| Party A |
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| Party B |
|
| Type, Date, Version |
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| Additional Conditions |
|
| Year of Definitions |
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| Transaction Details |
|
| Buy/Sell Indicator |
|
| Trade Date |
|
| Expiration Date |
|
| Expiration Location and Time |
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| Final Settlement Date |
|
| Premium Payment date |
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| Premium Currency and Amount |
|
| Calculation Agent |
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| Settlement Instructions for Payment of Premium |
|
| Receiving Agent |
|
| Payout Amount |
|
| Currency and Amount |
|
| Receiving Agent |
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| Trigger Block |
|
| Type of Trigger |
|
| Trigger Level |
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| Currency Pair |
|
Narrative
On 26 May 2008, Bank A in Frankfurt and Bank B in Paris agree to close a binary foreign currency option.
Bank B will pay a close-out fee of 12,500 EUR, value 28 May.
Message 1: SWIFT Message from Bank A, Frankfurt
| Explanation |
Format |
|---|---|
| Sender |
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| Message Type |
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| Receiver |
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| Message Text |
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| General Information |
|
| Sender's Reference |
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| Related Reference |
|
| Type of Operation |
|
| Common Reference |
|
| Contract Number |
|
| Option Style |
|
| Expiration Style |
|
| Barrier Indicator |
|
| Non Deliverable |
|
| Type of Event |
|
| Party A |
|
| Party B |
|
| Type, Date, Version |
|
| Additional Conditions |
|
| Year of Definitions |
|
| Transaction Details |
|
| Buy/Sell Indicator |
|
| Trade Date |
|
| Expiration Date |
|
| Expiration Location and Time |
|
| Final Settlement Date |
|
| Calculation Agent |
|
| Payout Amount |
|
| Currency and Amount |
|
| Receiving Agent |
|
| Trigger Block |
|
| Type of Trigger |
|
| Trigger Level |
|
| Currency Pair |
|
| Additional Information |
|
| Sender to Receiver Information |
|
| Additional Amounts |
|
| Number of Repetitions |
|
| Payment Date |
|
| Currency, Payment Amount |
|
| Receiving Agent |
|
