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• Commodity_Basis_Swap_NYMEX_CL.xml

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cdm-sample-files.ore-1-0-39.Commodity_Basis_Swap_NYMEX_CL.xml Maven / Gradle / Ivy

<Trade id="Commodity_Basis_Swap_NYMEX_CL">
  <TradeType>CommoditySwap</TradeType>
  <Envelope>
      <CounterParty>001B456BCDEFGH67XY89</CounterParty>
      <NettingSetId>ABC1234</NettingSetId>
      <AdditionalFields>
          <party_id>549300A08LH2961IPN13</party_id>
          <valuation_date>2019-09-26</valuation_date>
      </AdditionalFields>
  </Envelope>
  <SwapData>
    <LegData>
      <LegType>CommodityFixed</LegType>
      <Payer>false</Payer>
      <Currency>USD</Currency>
      <CommodityFixedLegData>
        <Quantities>
          <Quantity>77500</Quantity>
          <Quantity>72500</Quantity>
          <Quantity>77500</Quantity>
          <Quantity>75000</Quantity>
          <Quantity>77500</Quantity>
          <Quantity>75000</Quantity>
        </Quantities>
        <Prices>
          <Price>0.285</Price>
        </Prices>
      </CommodityFixedLegData>
      <ScheduleData>
        <Dates>
          <Calendar>NullCalendar</Calendar>
          <Convention>Unadjusted</Convention>
          <Dates>
            <Date>2019-11-21</Date>
            <Date>2019-12-19</Date>
            <Date>2020-01-21</Date>
            <Date>2020-02-20</Date>
            <Date>2020-03-20</Date>
            <Date>2020-04-21</Date>
            <Date>2020-05-19</Date>
          </Dates>
        </Dates>
      </ScheduleData>
      <PaymentDates>
        <PaymentDate>2020-02-20</PaymentDate>
        <PaymentDate>2020-03-20</PaymentDate>
        <PaymentDate>2020-04-20</PaymentDate>
        <PaymentDate>2020-05-20</PaymentDate>
        <PaymentDate>2020-06-22</PaymentDate>
        <PaymentDate>2020-07-20</PaymentDate>
      </PaymentDates>
    </LegData>
    <LegData>
      <LegType>CommodityFloating</LegType>
      <Payer>true</Payer>
      <Currency>USD</Currency>
      <CommodityFloatingLegData>
        <Name>NYMEX:CL</Name>
        <PriceType>FutureSettlement</PriceType>
        <Quantities>
          <Quantity>77500</Quantity>
          <Quantity>72500</Quantity>
          <Quantity>77500</Quantity>
          <Quantity>75000</Quantity>
          <Quantity>77500</Quantity>
          <Quantity>75000</Quantity>
        </Quantities>
        <Gearings>
          <Gearing>0.6667</Gearing>
        </Gearings>
        <IsAveraged>true</IsAveraged>
        <FutureMonthOffset>0</FutureMonthOffset>
      </CommodityFloatingLegData>
      <ScheduleData>
        <Dates>
          <Calendar>NullCalendar</Calendar>
          <Convention>Unadjusted</Convention>
          <Dates>
            <Date>2019-11-21</Date>
            <Date>2019-12-19</Date>
            <Date>2020-01-21</Date>
            <Date>2020-02-20</Date>
            <Date>2020-03-20</Date>
            <Date>2020-04-21</Date>
            <Date>2020-05-19</Date>
          </Dates>
        </Dates>
      </ScheduleData>
      <PaymentDates>
        <PaymentDate>2020-02-20</PaymentDate>
        <PaymentDate>2020-03-20</PaymentDate>
        <PaymentDate>2020-04-20</PaymentDate>
        <PaymentDate>2020-05-20</PaymentDate>
        <PaymentDate>2020-06-22</PaymentDate>
        <PaymentDate>2020-07-20</PaymentDate>
      </PaymentDates>
    </LegData>
    <LegData>
      <LegType>CommodityFloating</LegType>
      <Payer>true</Payer>
      <Currency>USD</Currency>
      <CommodityFloatingLegData>
        <Name>NYMEX:CL</Name>
        <PriceType>FutureSettlement</PriceType>
        <Quantities>
          <Quantity>77500</Quantity>
          <Quantity>72500</Quantity>
          <Quantity>77500</Quantity>
          <Quantity>75000</Quantity>
          <Quantity>77500</Quantity>
          <Quantity>75000</Quantity>
        </Quantities>
        <Gearings>
          <Gearing>-0.6667</Gearing>
        </Gearings>
        <IsAveraged>true</IsAveraged>
        <FutureMonthOffset>1</FutureMonthOffset>
      </CommodityFloatingLegData>
      <ScheduleData>
        <Dates>
          <Calendar>NullCalendar</Calendar>
          <Convention>Unadjusted</Convention>
          <Dates>
            <Date>2019-11-21</Date>
            <Date>2019-12-19</Date>
            <Date>2020-01-21</Date>
            <Date>2020-02-20</Date>
            <Date>2020-03-20</Date>
            <Date>2020-04-21</Date>
            <Date>2020-05-19</Date>
          </Dates>
        </Dates>
      </ScheduleData>
      <PaymentDates>
        <PaymentDate>2020-02-20</PaymentDate>
        <PaymentDate>2020-03-20</PaymentDate>
        <PaymentDate>2020-04-20</PaymentDate>
        <PaymentDate>2020-05-20</PaymentDate>
        <PaymentDate>2020-06-22</PaymentDate>
        <PaymentDate>2020-07-20</PaymentDate>
      </PaymentDates>
    </LegData>
    <LegData>
      <LegType>CommodityFloating</LegType>
      <Payer>true</Payer>
      <Currency>USD</Currency>
      <CommodityFloatingLegData>
        <Name>NYMEX:CL</Name>
        <PriceType>FutureSettlement</PriceType>
        <Quantities>
          <Quantity>77500</Quantity>
          <Quantity>72500</Quantity>
          <Quantity>77500</Quantity>
          <Quantity>75000</Quantity>
          <Quantity>77500</Quantity>
          <Quantity>75000</Quantity>
        </Quantities>
        <Gearings>
          <Gearing>0.3333</Gearing>
        </Gearings>
        <IsAveraged>true</IsAveraged>
        <FutureMonthOffset>0</FutureMonthOffset>
      </CommodityFloatingLegData>
      <ScheduleData>
        <Dates>
          <Calendar>NullCalendar</Calendar>
          <Convention>Unadjusted</Convention>
          <Dates>
            <Date>2019-11-21</Date>
            <Date>2019-12-19</Date>
            <Date>2020-01-21</Date>
            <Date>2020-02-20</Date>
            <Date>2020-03-20</Date>
            <Date>2020-04-21</Date>
            <Date>2020-05-19</Date>
          </Dates>
        </Dates>
      </ScheduleData>
      <PaymentDates>
        <PaymentDate>2020-02-20</PaymentDate>
        <PaymentDate>2020-03-20</PaymentDate>
        <PaymentDate>2020-04-20</PaymentDate>
        <PaymentDate>2020-05-20</PaymentDate>
        <PaymentDate>2020-06-22</PaymentDate>
        <PaymentDate>2020-07-20</PaymentDate>
      </PaymentDates>
    </LegData>
    <LegData>
      <LegType>CommodityFloating</LegType>
      <Payer>true</Payer>
      <Currency>USD</Currency>
      <CommodityFloatingLegData>
        <Name>NYMEX:CL</Name>
        <PriceType>FutureSettlement</PriceType>
        <Quantities>
          <Quantity>77500</Quantity>
          <Quantity>72500</Quantity>
          <Quantity>77500</Quantity>
          <Quantity>75000</Quantity>
          <Quantity>77500</Quantity>
          <Quantity>75000</Quantity>
        </Quantities>
        <Gearings>
          <Gearing>-0.3333</Gearing>
        </Gearings>
        <IsAveraged>true</IsAveraged>
        <FutureMonthOffset>2</FutureMonthOffset>
      </CommodityFloatingLegData>
      <ScheduleData>
        <Dates>
          <Calendar>NullCalendar</Calendar>
          <Convention>Unadjusted</Convention>
          <Dates>
            <Date>2019-11-21</Date>
            <Date>2019-12-19</Date>
            <Date>2020-01-21</Date>
            <Date>2020-02-20</Date>
            <Date>2020-03-20</Date>
            <Date>2020-04-21</Date>
            <Date>2020-05-19</Date>
          </Dates>
        </Dates>
      </ScheduleData>
      <PaymentDates>
        <PaymentDate>2020-02-20</PaymentDate>
        <PaymentDate>2020-03-20</PaymentDate>
        <PaymentDate>2020-04-20</PaymentDate>
        <PaymentDate>2020-05-20</PaymentDate>
        <PaymentDate>2020-06-22</PaymentDate>
        <PaymentDate>2020-07-20</PaymentDate>
      </PaymentDates>
    </LegData>
  </SwapData>
</Trade>