cdm-sample-files.native-cdm-events.Example-09-Submission-1.xml Maven / Gradle / Ivy
<?xml version="1.0" encoding="UTF-8"?>
<executionNotification xmlns="http://www.fpml.org/FpML-5/confirmation"
xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
fpmlVersion="5-10"
xsi:schemaLocation="http://www.fpml.org/FpML-5/confirmation ../../schemas/fpml-5-10/confirmation/fpml-main-5-10.xsd">
<header>
<messageId messageIdScheme="http://www.sef.com/msg_id">SEF123</messageId>
<sentBy>SEFCORP</sentBy>
<sendTo>SDR01</sendTo>
<creationTimestamp>2018-04-01T14:15:36Z</creationTimestamp>
<!-- Date stamp -->
</header>
<isCorrection>false</isCorrection>
<!-- Correction indicator -->
<correlationId correlationIdScheme="http://fpml.org/submitter_trade_id">TW9235</correlationId>
<sequenceNumber>1</sequenceNumber>
<onBehalfOf>
<partyReference href="party1"/>
<!-- explicit reference to which party is the primary reporting party -->
</onBehalfOf>
<trade>
<tradeHeader>
<partyTradeIdentifier>
<issuer issuerIdScheme="http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier">LEI1RPT0001
</issuer>
<tradeId tradeIdScheme="http://www.fpml.org/coding-scheme/external/unique-transaction-identifier">
LEI1RPT0001IIII
</tradeId>
</partyTradeIdentifier>
<partyTradeInformation>
<partyReference href="party1"/>
<relatedParty>
<partyReference href="broker1"/>
<role>ArrangingBroker</role>
<!-- arranging broker -->
</relatedParty>
<relatedBusinessUnit>
<businessUnitReference href="desk1"/>
<role>TradingDesk</role>
</relatedBusinessUnit>
<relatedPerson>
<personReference href="trader"/>
<role>Trader</role>
</relatedPerson>
<executionDateTime>2018-05-01T10:15:36Z</executionDateTime>
<!-- Execution timestamp -->
<intentToAllocate>false</intentToAllocate>
<intentToClear>false</intentToClear>
<!-- NEW: cleared or uncleared = "C" in CFTC doc -->
<collateralizationType>Fully</collateralizationType>
<reportingRegime>
<supervisorRegistration>
<supervisoryBody>CFTC</supervisoryBody>
</supervisorRegistration>
<reportingRole>ReportingParty</reportingRole>
<reportingPurpose>PrimaryEconomicTerms</reportingPurpose>
<mandatorilyClearable>false</mandatorilyClearable>
</reportingRegime>
<reportingRegime>
<supervisorRegistration>
<supervisoryBody>SEC</supervisoryBody>
</supervisorRegistration>
<reportingRole>ReportingParty</reportingRole>
<reportingPurpose>PrimaryEconomicTerms</reportingPurpose>
<mandatorilyClearable>false</mandatorilyClearable>
</reportingRegime>
<nonStandardTerms>false</nonStandardTerms>
<!-- NEW: indication of other price-affecting term -->
<offMarketPrice>false</offMarketPrice>
<!-- NEW -->
<largeSizeTrade>false</largeSizeTrade>
<!-- NEW: block trades and large notional swaps -->
<executionType>Electronic</executionType>
<!-- NEW -->
<executionVenueType>SEF</executionVenueType>
<!-- NEW: execution venue = "SWM" in CFTC doc; do we need a more specific refeence? -->
<confirmationMethod>Electronic</confirmationMethod>
<!-- NEW -->
</partyTradeInformation>
<tradeDate>2018-05-01</tradeDate>
</tradeHeader>
<swaption>
<buyerPartyReference href="party1"/>
<sellerPartyReference href="party2"/>
<premium>
<payerPartyReference href="party1"/>
<receiverPartyReference href="party2"/>
<paymentAmount>
<currency>EUR</currency>
<amount>100000</amount>
</paymentAmount>
<paymentDate>
<unadjustedDate>2018-05-03</unadjustedDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>EUTA</businessCenter>
</businessCenters>
</dateAdjustments>
</paymentDate>
</premium>
<europeanExercise>
<expirationDate>
<adjustableDate>
<unadjustedDate>2021-12-30</unadjustedDate>
<dateAdjustments>
<businessDayConvention>FOLLOWING</businessDayConvention>
<businessCenters>
<businessCenter>EUTA</businessCenter>
<businessCenter>GBLO</businessCenter>
</businessCenters>
</dateAdjustments>
</adjustableDate>
</expirationDate>
<earliestExerciseTime>
<hourMinuteTime>09:00:00</hourMinuteTime>
<businessCenter>BEBR</businessCenter>
</earliestExerciseTime>
<expirationTime>
<hourMinuteTime>11:00:00</hourMinuteTime>
<businessCenter>BEBR</businessCenter>
</expirationTime>
</europeanExercise>
<exerciseProcedure>
<manualExercise>
<exerciseNotice>
<partyReference href="party2"/>
<businessCenter>GBLO</businessCenter>
</exerciseNotice>
</manualExercise>
<followUpConfirmation>true</followUpConfirmation>
</exerciseProcedure>
<calculationAgent>
<calculationAgentPartyReference href="party2"/>
</calculationAgent>
<physicalSettlement>
<clearedPhysicalSettlement>true</clearedPhysicalSettlement>
</physicalSettlement>
<swaptionStraddle>false</swaptionStraddle>
<swap>
<swapStream>
<payerPartyReference href="party1"/>
<receiverPartyReference href="party2"/>
<calculationPeriodDates id="CalcPeriodDates0">
<effectiveDate>
<unadjustedDate>2019-04-03</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<terminationDate>
<unadjustedDate>2021-12-30</unadjustedDate>
<dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters id="accrualBusinessCenters0">
<businessCenter>EUTA</businessCenter>
</businessCenters>
</dateAdjustments>
</terminationDate>
<calculationPeriodDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference href="accrualBusinessCenters0"/>
</calculationPeriodDatesAdjustments>
<calculationPeriodFrequency>
<periodMultiplier>1</periodMultiplier>
<period>Y</period>
<rollConvention>30</rollConvention>
</calculationPeriodFrequency>
</calculationPeriodDates>
<paymentDates>
<calculationPeriodDatesReference href="CalcPeriodDates0"/>
<paymentFrequency>
<periodMultiplier>1</periodMultiplier>
<period>Y</period>
</paymentFrequency>
<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
<paymentDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters id="paymentBusinessCenters0">
<businessCenter>EUTA</businessCenter>
</businessCenters>
</paymentDatesAdjustments>
</paymentDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule>
<notionalStepSchedule>
<initialValue>16000</initialValue>
<currency>EUR</currency>
</notionalStepSchedule>
</notionalSchedule>
<fixedRateSchedule>
<initialValue>0.05</initialValue>
</fixedRateSchedule>
<dayCountFraction>30/360</dayCountFraction>
</calculation>
</calculationPeriodAmount>
</swapStream>
<swapStream>
<payerPartyReference href="party2"/>
<receiverPartyReference href="party1"/>
<calculationPeriodDates id="CalcPeriodDates1">
<effectiveDate>
<unadjustedDate>2019-04-03</unadjustedDate>
<dateAdjustments>
<businessDayConvention>NONE</businessDayConvention>
</dateAdjustments>
</effectiveDate>
<terminationDate>
<unadjustedDate>2021-12-30</unadjustedDate>
<dateAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters id="accrualBusinessCenters1">
<businessCenter>EUTA</businessCenter>
</businessCenters>
</dateAdjustments>
</terminationDate>
<calculationPeriodDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference href="accrualBusinessCenters1"/>
</calculationPeriodDatesAdjustments>
<calculationPeriodFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
<rollConvention>30</rollConvention>
</calculationPeriodFrequency>
</calculationPeriodDates>
<paymentDates>
<calculationPeriodDatesReference href="CalcPeriodDates1"/>
<paymentFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
</paymentFrequency>
<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
<paymentDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCenters id="paymentBusinessCenters1">
<businessCenter>EUTA</businessCenter>
</businessCenters>
</paymentDatesAdjustments>
</paymentDates>
<resetDates id="resetDates0">
<calculationPeriodDatesReference href="CalcPeriodDates1"/>
<resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
<fixingDates>
<periodMultiplier>-2</periodMultiplier>
<period>D</period>
<dayType>Business</dayType>
<businessDayConvention>NONE</businessDayConvention>
<businessCenters id="fixingBusinessCenters0">
<businessCenter>EUTA</businessCenter>
</businessCenters>
<dateRelativeTo href="resetDates0"/>
</fixingDates>
<resetFrequency>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
</resetFrequency>
<resetDatesAdjustments>
<businessDayConvention>MODFOLLOWING</businessDayConvention>
<businessCentersReference href="paymentBusinessCenters1"/>
</resetDatesAdjustments>
</resetDates>
<calculationPeriodAmount>
<calculation>
<notionalSchedule>
<notionalStepSchedule>
<initialValue>16000</initialValue>
<currency>EUR</currency>
</notionalStepSchedule>
</notionalSchedule>
<floatingRateCalculation>
<floatingRateIndex>EUR-EURIBOR-Telerate</floatingRateIndex>
<indexTenor>
<periodMultiplier>6</periodMultiplier>
<period>M</period>
</indexTenor>
</floatingRateCalculation>
<dayCountFraction>ACT/360</dayCountFraction>
</calculation>
</calculationPeriodAmount>
</swapStream>
</swap>
</swaption>
</trade>
<party id="party1">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442">LEI1RPT0001</partyId>
<!-- unique counterparty identifier of reporting party -->
<partyName>Bank X</partyName>
<organizationType>SD</organizationType>
<businessUnit id="desk1">
<name>NY Swaps Desk</name>
</businessUnit>
<person id="trader">
<personId>jjones</personId>
</person>
</party>
<party id="party2">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442">LEI2CP0002</partyId>
<!-- unique counterparty identifier of other party -->
<partyName>Bank Y</partyName>
<organizationType>SD</organizationType>
</party>
<party id="broker1">
<partyId partyIdScheme="http://www.fpml.org/coding-scheme/external/iso17442">549300OL8KL0WCQ34V31</partyId>
<!-- unique counterparty identifier of arranging broker -->
<partyName>Up&Atem</partyName>
</party>
</executionNotification>
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