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• Contract_Submission.xml

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cdm-sample-files.cme-submission-irs-1-0.Contract_Submission.xml Maven / Gradle / Ivy

<?xml version="1.0" encoding="UTF-8"?>
<FIXML xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
	xsi:schemaLocation="http://www.cmegroup.com/otc-clearing/submission ../../schemas/cme-submission-irs-1-0/bloombergTradeFixml.xsd"
	xmlns="http://www.cmegroup.com/otc-clearing/submission" cv="CME.0001" s="20111206" v="5.0"
	xv="109">
	<!-- This is a duplication of one of the CME submission events which purpose is to test the mapping
		logic associated with the CDM contract attribute in the Trade class 
		The SID value, which corresponds to the execution venue, is not being mapped to the CDM as this
		value is associated with the Execution class -->
	<TrdCaptRpt TransTyp="0" RptTyp="0" TrdTyp="22" ExecID="43401154" ExecID2="43401154"
		TrdDt="2018-10-31" LastQty="100000000" LastPx="5.0000" TxnTm="2018-10-31T14:13:57.104Z">
		<Hdr Snt="2018-10-31T14:13:57.104Z" SID="MKSA" TID="CME" SSub="CME" TSub="CME"/>
		<Instrmt SecTyp="IRS" ID="" Exch="CME">
			<SecXML>
				<FpML xmlns="http://www.fpml.org/2009/FpML-4-6"
					xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" version="4-6"
					xsi:type="DataDocument">
					<trade>
						<tradeHeader>
							<partyTradeIdentifier>
								<partyReference href="partyA"/>
								<tradeId tradeIdScheme="http://www.swapswire.com/spec/2001/trade-id-1-0">43401154-2</tradeId>
							</partyTradeIdentifier>
							<partyTradeIdentifier>
								<partyReference href="partyB"/>
								<tradeId tradeIdScheme="http://www.swapswire.com/spec/2001/trade-id-1-0">43401154-2</tradeId>
							</partyTradeIdentifier>
							<partyTradeIdentifier>
								<partyReference href="partyC"/>
								<tradeId tradeIdScheme="http://www.swapswire.com/spec/2001/trade-id-1-0">43401154-2</tradeId>
							</partyTradeIdentifier>
							<tradeDate>2018-10-31</tradeDate>
						</tradeHeader>
						<swap>
							<productType>InterestRateSwap</productType>
							<swapStream id="floatingLeg">
								<payerPartyReference href="sideB"/>
								<receiverPartyReference href="sideA"/>
								<calculationPeriodDates id="floatingLegCalcPeriodDates">
									<effectiveDate>
										<unadjustedDate>2018-11-02</unadjustedDate>
										<dateAdjustments>
											<businessDayConvention>NONE</businessDayConvention>
										</dateAdjustments>
									</effectiveDate>
									<terminationDate>
										<unadjustedDate>2023-11-02</unadjustedDate>
										<dateAdjustments>
											<businessDayConvention>MODFOLLOWING</businessDayConvention>
											<businessCenters>
												<businessCenter>GBLO</businessCenter>
												<businessCenter>USNY</businessCenter>
											</businessCenters>
										</dateAdjustments>
									</terminationDate>
									<calculationPeriodDatesAdjustments>
										<businessDayConvention>MODFOLLOWING</businessDayConvention>
										<businessCenters>
											<businessCenter>GBLO</businessCenter>
											<businessCenter>USNY</businessCenter>
										</businessCenters>
									</calculationPeriodDatesAdjustments>
									<calculationPeriodFrequency>
										<periodMultiplier>3</periodMultiplier>
										<period>M</period>
										<rollConvention>2</rollConvention>
									</calculationPeriodFrequency>
								</calculationPeriodDates>
								<paymentDates id="floatingLegPaymentDates">
									<calculationPeriodDatesReference
										href="floatingLegCalcPeriodDates"/>
									<paymentFrequency>
										<periodMultiplier>3</periodMultiplier>
										<period>M</period>
									</paymentFrequency>
									<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
									<paymentDatesAdjustments>
										<businessDayConvention>MODFOLLOWING</businessDayConvention>
										<businessCenters>
											<businessCenter>GBLO</businessCenter>
											<businessCenter>USNY</businessCenter>
										</businessCenters>
									</paymentDatesAdjustments>
								</paymentDates>
								<resetDates id="floatingLegResetDates">
									<calculationPeriodDatesReference
										href="floatingLegCalcPeriodDates"/>
									<resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>
									<fixingDates>
										<periodMultiplier>-2</periodMultiplier>
										<period>D</period>
										<dayType>Business</dayType>
										<businessDayConvention>NONE</businessDayConvention>
										<businessCenters>
											<businessCenter>GBLO</businessCenter>
										</businessCenters>
										<dateRelativeTo href="floatingLegResetDates"/>
									</fixingDates>
									<resetFrequency>
										<periodMultiplier>3</periodMultiplier>
										<period>M</period>
									</resetFrequency>
									<resetDatesAdjustments>
										<businessDayConvention>MODFOLLOWING</businessDayConvention>
										<businessCenters>
											<businessCenter>GBLO</businessCenter>
											<businessCenter>USNY</businessCenter>
										</businessCenters>
									</resetDatesAdjustments>
								</resetDates>
								<calculationPeriodAmount>
									<calculation>
										<notionalSchedule>
											<notionalStepSchedule>
												<initialValue>100000000</initialValue>
												<currency>USD</currency>
											</notionalStepSchedule>
										</notionalSchedule>
										<floatingRateCalculation>
											<floatingRateIndex>USD-LIBOR-BBA</floatingRateIndex>
											<indexTenor>
												<periodMultiplier>3</periodMultiplier>
												<period>M</period>
											</indexTenor>
										</floatingRateCalculation>
										<dayCountFraction>ACT/360</dayCountFraction>
									</calculation>
								</calculationPeriodAmount>
							</swapStream>
							<swapStream id="fixedLeg">
								<payerPartyReference href="sideA"/>
								<receiverPartyReference href="sideB"/>
								<calculationPeriodDates id="fixedLegCalcPeriodDates">
									<effectiveDate>
										<unadjustedDate>2018-11-02</unadjustedDate>
										<dateAdjustments>
											<businessDayConvention>NONE</businessDayConvention>
										</dateAdjustments>
									</effectiveDate>
									<terminationDate>
										<unadjustedDate>2023-11-02</unadjustedDate>
										<dateAdjustments>
											<businessDayConvention>MODFOLLOWING</businessDayConvention>
											<businessCenters>
												<businessCenter>GBLO</businessCenter>
												<businessCenter>USNY</businessCenter>
											</businessCenters>
										</dateAdjustments>
									</terminationDate>
									<calculationPeriodDatesAdjustments>
										<businessDayConvention>MODFOLLOWING</businessDayConvention>
										<businessCenters>
											<businessCenter>GBLO</businessCenter>
											<businessCenter>USNY</businessCenter>
										</businessCenters>
									</calculationPeriodDatesAdjustments>
									<calculationPeriodFrequency>
										<periodMultiplier>6</periodMultiplier>
										<period>M</period>
										<rollConvention>2</rollConvention>
									</calculationPeriodFrequency>
								</calculationPeriodDates>
								<paymentDates id="fixedLegPaymentDates">
									<calculationPeriodDatesReference href="fixedLegCalcPeriodDates"/>
									<paymentFrequency>
										<periodMultiplier>6</periodMultiplier>
										<period>M</period>
									</paymentFrequency>
									<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>
									<paymentDatesAdjustments>
										<businessDayConvention>MODFOLLOWING</businessDayConvention>
										<businessCenters>
											<businessCenter>GBLO</businessCenter>
											<businessCenter>USNY</businessCenter>
										</businessCenters>
									</paymentDatesAdjustments>
								</paymentDates>
								<calculationPeriodAmount>
									<calculation>
										<notionalSchedule>
											<notionalStepSchedule>
												<initialValue>100000000</initialValue>
												<currency>USD</currency>
											</notionalStepSchedule>
										</notionalSchedule>
										<fixedRateSchedule>
											<initialValue>0.02781</initialValue>
										</fixedRateSchedule>
										<dayCountFraction>30/360</dayCountFraction>
									</calculation>
								</calculationPeriodAmount>
							</swapStream>
						</swap>
						<tradeSide id="sideA">
							<orderer>
								<party href="partyA"/>
							</orderer>
							<creditor>
								<party href="partyA"/>
							</creditor>
						</tradeSide>
						<tradeSide id="sideB">
							<orderer>
								<party href="partyB"/>
							</orderer>
							<creditor>
								<party href="partyB"/>
							</creditor>
						</tradeSide>
					</trade>
					<party id="partyA">
						<partyId>ONB2-TEST-I</partyId>
						<partyName>Michigan Avenue Bank - Executing Bank</partyName>
					</party>
					<party id="partyB">
						<partyId>EVENTTEST1</partyId>
						<partyName>CMEEVENT1</partyName>
					</party>
					<party id="partyC">
						<partyId>SWAPSWIRE</partyId>
					</party>
				</FpML>
			</SecXML>
		</Instrmt>
		<TrdRegTS Typ="1" TS="2018-10-31T14:01:16.000000Z"/>
		<RptSide Side="1" ClOrdID="43401154-2" InptSrc="MKSA" OrigTrdID="43401919">
			<Pty ID="ONB2-TEST-I" R="24" Src="D"/>
			<TrdRegTS Typ="1" TS="2018-10-31T14:13:57.104Z"/>
		</RptSide>
		<RptSide Side="2" ClOrdID="43401154-2" InptSrc="MKSA" OrigTrdID="43401920">
			<Pty ID="EVENTTEST1" R="24" Src="D"/>
			<TrdRegTS Typ="1" TS="2018-10-31T14:13:57.104Z"/>
		</RptSide>
	</TrdCaptRpt>
</FIXML>