RMB-Linked EUR/USD Daily Observation Discrete Range Accrual Option
About 2 min
RMB-Linked EUR/USD Daily Observation Discrete Range Accrual Option
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1. Transaction Details
| Party A | XXXXX |
| Party B | XXXXX (“XXXX”) |
| Calculation Amount | RMB [ ] Yuan |
| Trade Date | [XXXX] Year [XX] Month [XX] Day |
| Value Date | [XXXX] Year [XX] Month [XX] Day |
| Observation Dates | Refer to the date table below, and each observation date is a BFIX pricing day |
| Maturity Date | [XXXX] Year [XX] Month [XX] Day, adjustable according to the “Next” Business Day Convention |
| Business Day Convention | “Next” |
| Business Days for Payments | Beijing, New York |
| Governing Law | Laws of the People’s Republic of China |
| Documentation | 《China Interbank Financial Derivatives Market Transaction Definitions (2009 Edition)》 |
| Upfront Fee | [ ] |
| Upfront Fee Payer | Party A |
| Upfront Fee Payment Date | [XXXX] Year [XX] Month [XX] Day |
| Upfront Fee | Annual Rate [ ]%, i.e., RMB [ ] Yuan |
| Floating Amount | [ ] |
| Floating Rate Payer | Party A |
| Floating Rate Payment Date | Maturity Date |
| Floating Rate | If the EUR/USD fixing price on any observation date is equal to or above the Upper Barrier Rate, and on any other observation date the EUR/USD fixing price is equal to or below the Lower Barrier Rate, - Annual Rate: 6.50%. Otherwise, - Annual Rate: 1.50%. |
| Upper Barrier Rate | EUR/USD fixing price on the Trade Date + X.XXXX, X.XXXX |
| Lower Barrier Rate | EUR/USD fixing price on the Trade Date – X.XXXX, X.XXXX |
| Business Days for EUR/USD Fixing | Tokyo |
| EUR/USD Fixing Price | The spot exchange rate of EUR/USD displayed on the Bloomberg page “BFIX” at around 3:00 PM Tokyo time (expressed as the amount of USD per 1 EUR), accurate to 4 decimal places. If the EUR/USD spot rate is not displayed on the Bloomberg page “BFIX,” the bank (or its affiliates) shall determine the applicable rate in a commercially reasonable manner and in good faith. |
| Interest Calculation Method | Simple Interest |
| Floating Rate and Day Count Convention | Actual/365, Unadjusted |
| Fixed Amount | [ ] |
| Fixed Rate Payer | Party B |
| Fixed Rate Payment Date | Maturity Date |
| Fixed Rate | Annual Rate [ ]% |
| Fixed Rate and Day Count Convention | Actual/365, Unadjusted |
2. Date Table
| Fixing | Observation Date |
|---|---|
| 1 | 11-Sep-18 |
| 2 | 12-Sep-18 |
| 3 | 13-Sep-18 |
| 4 | 14-Sep-18 |
| 5 | 17-Sep-18 |
| 6 | 18-Sep-18 |
| 7 | 19-Sep-18 |
| 8 | 20-Sep-18 |
| 9 | 21-Sep-18 |
| 10 | 24-Sep-18 |
| 11 | 25-Sep-18 |
| 12 | 26-Sep-18 |
| 13 | 27-Sep-18 |
| 14 | 28-Sep-18 |
| 15 | 01-Oct-18 |
| 16 | 02-Oct-18 |
| 17 | 03-Oct-18 |
| 18 | 04-Oct-18 |
| 19 | 05-Oct-18 |
| 20 | 08-Oct-18 |
| 21 | 09-Oct-18 |
| 22 | 10-Oct-18 |
| 23 | 11-Oct-18 |
| 24 | 12-Oct-18 |
| 25 | 15-Oct-18 |
| 26 | 16-Oct-18 |
| 27 | 17-Oct-18 |
| 28 | 18-Oct-18 |
| 29 | 19-Oct-18 |
| 30 | 22-Oct-18 |
| 31 | 23-Oct-18 |
| 32 | 24-Oct-18 |
| 33 | 25-Oct-18 |
| 34 | 26-Oct-18 |
| 35 | 29-Oct-18 |
| 36 | 30-Oct-18 |
| 37 | 31-Oct-18 |
| 38 | 01-Nov-18 |
| 39 | 02-Nov-18 |
| 40 | 05-Nov-18 |
| 41 | 06-Nov-18 |
| 42 | 07-Nov-18 |
| 43 | 08-Nov-18 |
| 44 | 09-Nov-18 |
| 45 | 12-Nov-18 |
| 46 | 13-Nov-18 |
| 47 | 14-Nov-18 |
| 48 | 15-Nov-18 |
| 49 | 16-Nov-18 |
| 50 | 19-Nov-18 |
| 51 | 20-Nov-18 |
| 52 | 21-Nov-18 |
| 53 | 22-Nov-18 |
| 54 | 23-Nov-18 |
| 55 | 26-Nov-18 |
| 56 | 27-Nov-18 |
| 57 | 28-Nov-18 |
| 58 | 29-Nov-18 |
| 59 | 30-Nov-18 |
| 60 | 03-Dec-18 |
| 61 | 04-Dec-18 |
| 62 | 05-Dec-18 |
| 63 | 06-Dec-18 |
| 64 | 07-Dec-18 |
| 65 | 10-Dec-18 |
| 66 | 11-Dec-18 |
| 67 | 12-Dec-18 |